Following the Pied Piper: Do Individual Returns Herd around the Market?
研究市场压力时期个股回报是否出现羊群效应，通过比较实际回报离散度与理性资产定价模型预测的离散度，发现大幅价格波动期间不存在羊群行为。
Do equity returns indicate the presence of herd behavior on the part of investors during periods of market stress? To test this proposition, the cross-sectional standard deviation of returns, or dispersion, is used to capture herd behavior. When individual returns herd around the market consensus, dispersions are predicted to be relatively low. In contrast, rational asset pricing models predict an increase in dispersion because individual returns are repelled away from the market return when stocks differ in their sensitivity to market movements. The results for both daily and monthly returns are inconsistent with the presence of herding during periods of large price movements. For example, during extreme down markets, when herding is expected to be most prevalent, the magnitude of the increase in the dispersion of actual returns is mirrored by the increase in the dispersion of predicted returns that are estimated from a rational asset pricing model.