Purpose - The purpose of this paper is to examine whether Fama-French common risk-factor portfolio investors herd on a daily basis for five developed markets, namely, Europe, Japan, Asia Pacific ex Japan, North America and Globe. Design/methodology/approach - To examine the herd behavior of...

Analysis of required expected return disclosures by public pension funds in individual asset classes reveals a reliance on past performance in setting return expectations. These extrapolative expectations operate through the expected risk premium and occur across all risky asset classes. Pension...

Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from checking account transactions to proxy for low self-control and compare over...

The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the...

Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor...

In this study, an attempt has been made to find out why investors still prefer broker-sold fund over direct-sold fund despite the superior performance of the latter. We find the sensitivity of funds flow in selected direct-sold funds and broker-sold funds in India. We do not find any evidence...

Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions but cannot be measured bias-free. We link the time-series of government-controlled tobacco prices to debit/credit card transaction histories to identify smoking as a proxy for...