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:: Volume 12, Issue 47 (Quarterly Journal of Fiscal and Economics Policies 2024) ::
qjfep 2024, 12(47): 41-66 Back to browse issues page
Macro Herding, Firm Size, and Market Returns
Mahdi Karimi , Mohammad Osoolian * , Ali mohammad Azimi dizaj
Department of Financial Management and Insurance, Shahid Beheshti University
Abstract:   (258 Views)
Examining herd behavior in the stock market is crucial due to its impact on market volatility and stability. Therefore, this study focuses on the effect of firm size and market returns by analyzing this phenomenon using the TV method. The use of the TV method is important for two reasons: first, it is more suitable for identifying macro-level herd behavior and better captures collective trading tendencies among investors; second, its independence from asset pricing models reduces computational biases. Findings indicate that herd behavior is more common in larger firms compared to smaller ones, which can be attributed to factors such as intrinsic value bias, media coverage, and investor preferences. Larger firms attract more attention, leading to increased media coverage, which in turn promotes herd behavior among investors. Additionally, this study examines herd behavior in conditions of both high and low market returns. Results show that, for both large and small firms, the level of herd behavior rises with an increase in positive returns as well as negative returns.
Keywords: Herd behavior, macro-level herd behavior, firm size, TV method
Full-Text [PDF 1040 kb]   (99 Downloads)    
Type of Study: Research | Subject: Special
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Karimi M, Osoolian M, Azimi dizaj A M. Macro Herding, Firm Size, and Market Returns. qjfep 2024; 12 (47) :41-66
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Volume 12, Issue 47 (Quarterly Journal of Fiscal and Economics Policies 2024) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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