Thread by @arubesam

I gave myself the challenge of reading (at least) one paper a day, every day. I'm considering keeping a live log in this thread. 🤔 I'll be generous with myself and also count any papers that I'm re-reading.

Yesterday's paper.
Beltz, A. M., & Gates, K. M. (2017). Network Mapping with GIMME. Multivariate Behavioral Research, 52(6), 789–804. doi.org/10.1080/002731…

21/06/2020 - Campbell, J. Y., & Shiller, R. J. (1987). Cointegration and Tests of Present Value Models. Journal of Political Economy, 95(5), 1062–1088.

Brushing up on several present-value papers starting in the 80s.

22/06/2020 - Campbell, J. Y., & Shiller, R. J. (1988). Stock Prices, Earnings, and Expected Dividends. The Journal of Finance, 43(3), 661–676. doi.org/10.1111/j.1540…

22/06/2020 - Bonus classic paper - Campbell, J. Y., & Shiller, R. J. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. The Review of Financial Studies, 1(3), 195–228.

23/06/2020 - Ahmed, S., Bu, Z., & Tsvetanov, D. (2019). Best of the Best: A Comparison of Factor Models. Journal of Financial and Quantitative Analysis, 54(4), 1713–1758. doi.org/10.1017/S00221…

24/06/2020 - Bogomolov, T. (2013). Pairs trading based on statistical variability of the spread process. Quantitative Finance, 13(9), 1411–1430. doi.org/10.1080/146976…

24/06/2020 -"Huck, N. (2013). The high sensitivity of pairs trading returns. Applied Economics Letters, 20(14), 1301–1304. doi.org/10.1080/135048…

25/06/2020 - Huck, N., & Afawubo, K. (2015). Pairs trading and selection methods: Is cointegration superior? Applied Economics, 47(6), 599–613. doi.org/10.1080/000368…

26/06/2020 - Lei, Y., & Xu, J. (2015). Costly arbitrage through pairs trading. Journal of Economic Dynamics and Control, 56, 1-19.

26/06/2020 - Chiu, M. C., & Wong, H. Y. (2011). Mean–variance portfolio selection of cointegrated assets. Journal of Economic Dynamics and Control, 35(8), 1369-1385.

26/06/2020 - Schnaubelt, M., Fischer, T., & Krauss, C. (2020). Separating the signal from the noise–financial machine learning for Twitter. Journal of Economic Dynamics and Control, 103895.

27/06/2020 - Mariani, G., Zhu, Y., Li, J., Scheidegger, F., Istrate, R., Bekas, C., & Malossi, A. C. I. (2019). PAGAN: Portfolio Analysis with Generative Adversarial Networks. ArXiv:1909.10578 [q-Fin]. arxiv.org/abs/1909.10578

28/06/2020 - Kolm, P. N., & Ritter, G. (2019). Modern Perspectives on Reinforcement Learning in Finance. SSRN Electronic Journal. doi.org/10.2139/ssrn.3…

29/06/2020 - Rad, H., Low, R. K. Y., & Faff, R. (2016). The profitability of pairs trading strategies: Distance, cointegration and copula methods. Quantitative Finance, 16(10), 1541–1558. doi.org/10.1080/146976…

30/06/2020 - Vassalou, M., & Xing, Y. (2004). Default risk in equity returns. The Journal of Finance, 59(2), 831-868.
onlinelibrary.wiley.com/doi/pdf/10.111…

01/07/2020 - Chen, H. (Jason), Chen, S. (Jenny), Chen, Z., & Li, F. (2019). Empirical Investigation of an Equity Pairs Trading Strategy. Management Science, 65(1), 370–389. doi.org/10.1287/mnsc.2…

02/07/2020 - Huck, N. (2015). Pairs trading: Does volatility timing matter? Applied Economics, 47(57), 6239–6256. doi.org/10.1080/000368…

03/07/2020 - Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (n.d.). Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. The Journal of Finance, 44.

06/07/2020 - Law, K. F., Li, W. K., & Yu, P. L. H. (2018). A single-stage approach for cointegration-based pairs trading. Finance Research Letters, 26, 177–184. doi.org/10.1016/j.frl.…

07/07/2020 - Carr, P., Wu, L., & Zhang, Z. (2019). Using Machine Learning to Predict Realized Variance. ArXiv:1909.10035 [q-Fin]. arxiv.org/abs/1909.10035

27/07/2020 - technically on holidays, but here it goes anyway. Guhaniyogi, R., & Dunson, D. B. (2015). Bayesian Compressed Regression. Journal of the American Statistical Association, 110(512), 1500–1514. doi.org/10.1080/016214…
https://t.co/jWsXmd7eSO

30/07/2020 - very cool paper. Giglio, S., & Xiu, D. (n.d.). Asset Pricing with Omitted Factors. 39.Giglio, S., & Xiu, D. (2019). Asset pricing with omitted factors. Chicago Booth Research Paper, (16-21).papers.ssrn.com/sol3/papers.cf…

06/08/2020 - Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2020). Financial contagion during COVID–19 crisis. Finance Research Letters, 101604. doi.org/10.1016/j.frl.… #apaperaday

06/08/2020 - Zhou, X.-H. (1997). CONFIDENCE INTERVALS FOR THE LOG-NORMAL MEAN. STAT. MED., 16, 8. #apaperaday

10/08/2020 - Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 101691. doi.org/10.1016/j.frl.…

10/08/2020 - Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. Finance Research Letters, 35, 101597. doi.org/10.1016/j.frl.…

10/08/2020 - Albulescu, C. T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, 101699. doi.org/10.1016/j.frl.…

12/08/2020 - Excellent paper proposing a new way to look at asset pricing and return predictability. Kelly, B. T., Malamud, S., & Pedersen, L. H. (2020). Principal Portfolios (No. w27388). National Bureau of Economic Research.
nber.org/papers/w27388

13/08/2020 - Okorie, D. I., & Lin, B. (2020). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 101640. doi.org/10.1016/j.frl.…
#apaperaday

17/08/2020 - Demirer, R., Leggio, K. B., & Lien, D. (2019). Herding and flash events: Evidence from the 2010 Flash Crash. Finance Research Letters, 31, S1544612318307475. doi.org/10.1016/j.frl.…
#apaperaday

17/08/2020 - Vidal-Tomás, D., Ibáñez, A. M., & Farinós, J. E. (2019). Herding in the cryptocurrency market: CSSD and CSAD approaches. Finance Research Letters, 30, 181–186. doi.org/10.1016/j.frl.… #apaperaday

24/08/2020 - Stavroyiannis, S., & Babalos, V. (2019). Herding behavior in cryptocurrencies revisited: Novel evidence from a TVP model. Journal of Behavioral and Experimental Finance, 22, 57–63. doi.org/10.1016/j.jbef… #apaperaday

24/08/2020 - Ballis, A., & Drakos, K. (2020). Testing for herding in the cryptocurrency market. Finance Research Letters, 33, 101210. doi.org/10.1016/j.frl.… #apaperaday

24/08/2020 - Chen, T. (2020). Does Country Matter to Investor Herding? Evidence from an Intraday Analysis. Journal of Behavioral Finance, 1–9. doi.org/10.1080/154275…
#apaperaday

26/08/2020 - Snow, D. (2020). Machine Learning in Asset Management—Part 1: Portfolio Construction—Trading Strategies. The Journal of Financial Data Science, 2(1), 10-23. #apaperaday

17/09/2020 - Fama, E. F., & French, K. R. (2002). The Equity Premium. The Journal of Finance, 57(2), 637–659. doi.org/10.1111/1540-6…

17/09/2020 - Campello, M., Chen, L., & Zhang, L. (2008). Expected returns, yield spreads, and asset pricing tests. Review of Financial Studies, 21(3), 1297–1338. doi.org/10.1093/rfs/hh…

A balance of #apaperaday so far: I was able to do it reasonably well until the term started. From June 21 2020 to Aug 26 2020 I read about 40 papers. Since then, I've only read six!

Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics, 104(2), 228–250. doi.org/10.1016/j.jfin…

Baltas, N. (2015). Trend-Following, Risk-Parity and the Influence of Correlations. In Risk-Based and Factor Investing (pp. 65–95). Elsevier. doi.org/10.1016/B978-1…

Fuertes, A.-M., Miffre, J., & Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), 2530–2548. doi.org/10.1016/j.jban…

Szakmary, A. C., Shen, Q., & Sharma, S. C. (2010). Trend-following trading strategies in commodity futures: A re-examination. 18.

Kyriakou, I., Mousavi, P., Nielsen, J. P., & Scholz, M. (2019). Forecasting benchmarks of long-term stock returns via machine learning. Annals of Operations Research. doi.org/10.1007/s10479…

Akyildirim, E., Goncu, A., & Sensoy, A. (2020). Prediction of cryptocurrency returns using machine learning. Annals of Operations Research. doi.org/10.1007/s10479…

Jiang, M., Jia, L., Chen, Z., & Chen, W. (2020). The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm. Annals of Operations Research. doi.org/10.1007/s10479…

Peters, O. (2019). The ergodicity problem in economics. Nature Physics, 15(12), 1216-1221. nature.com/articles/s4156…

Huang, D., Li, J., Wang, L., & Zhou, G. (2020). Time series momentum: Is it there?. Journal of Financial Economics, 135(3), 774-794.doi.org/10.1016/j.jfin…

Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.

Zimmermann, P. (2021). The role of the leverage effect in the price discovery process of credit markets. Journal of Economic Dynamics and Control, 122, 104033. doi.org/10.1016/j.jedc…

Gonzalo, J., & Granger, C. (1995). Estimation of Common Long-Memory Components in Cointegrated Systems. Journal of Business & Economic Statistics, 13(1), 27–35. doi.org/10.1080/073500…

Hasbrouck, J. (1995). One Security, Many Markets: Determining the Contributions to Price Discovery. The Journal of Finance, 50(4), 1175–1199. doi.org/10.1111/j.1540…

Duffie, D., & Lando, D. (2001). Term Structures of Credit Spreads with Incomplete Accounting Information. Econometrica, 69(3), 633–664. doi.org/10.1111/1468-0…

Re-reading some herding papers for new herding project lit review:
Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8), 1911–1921. doi.org/10.1016/j.jban…

Christie, W. G., & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 51(4), 31–37. doi.org/10.2469/faj.v5…

Grinblatt, M., Titman, S., & Wermers, R. (1995). Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. The American Economic Review, 85(5), 1088–1105. JSTOR.

Bikhch, S., Hirshleifer, D., & Welch, I. A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades.

Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001). The Determinants of Credit Spread Changes. The Journal of Finance, 56(6), 2177–2207. doi.org/10.1111/0022-1…

Hasbrouck, J. (2002). Stalking the “efficient price” in market microstructure specifications: An overview. Journal of Financial Markets, 5(3), 329–339. doi.org/10.1016/S1386-…

Acharya, V. V., & Johnson, T. C. (2007). Insider trading in credit derivatives. Journal of Financial Economics, 32.

Cremers, M., Driessen, J., Maenhout, P., & Weinbaum, D. (2008). Individual stock-option prices and credit spreads. 10. doi.org/10.1016/j.jban…

Qiu, J. (2012). Endogenous liquidity in credit derivatives. Journal of Financial Economics, 21.
doi.org/10.1016/j.jfin…

"Kapadia, N., & Pu, X. (2012). Limited arbitrage between equity and credit markets. Journal of Financial Economics, 105(3), 542–564. doi.org/10.1016/j.jfin…
"

Collin-Dufresne, P., Junge, B., & Trolle, A. B. (2020). How Integrated Are Credit and Equity Markets? Evidence From Index Options. Evidence From Index Options (June 24, 2020). papers.ssrn.com/sol3/papers.cf…

Narayan, P. K., Sharma, S. S., & Thuraisamy, K. S. (2014). An analysis of price discovery from panel data models of CDS and equity returns. Journal of Banking & Finance, 41, 167–177. doi.org/10.1016/j.jban…

Hilscher, J., Pollet, J. M., & Wilson, M. (2015). Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets. Journal of Financial and Quantitative Analysis, 50(3), 543–567. doi.org/10.1017/S00221…

Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market. The Journal of Finance, 60(5), 2213–2253. doi.org/10.1111/j.1540…

Collin-Dufresne, P., & Goldstein, R. S. (2001). Do Credit Spreads Reflect Stationary Leverage Ratios? The Journal of Finance, 56(5), 1929–1957. doi.org/10.1111/0022-1…

Giesecke, Kay. 2006. “Default and Information.” Journal of Economic Dynamics and Control 30 (11): 2281–2303. doi.org/10.1016/j.jedc….

Ardia, David, Guido Bolliger, Kris Boudt, and Jean-Philippe Gagnon-Fleury. 2017. “The Impact of Covariance Misspecification in Risk-Based Portfolios.” Annals of Operations Research 254 (1–2): 1–16. doi.org/10.1007/s10479….

Ardia, David, Kris Boudt, and Giang Nguyen. 2018. “Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation.” Quantitative Finance 18 (8): 1249–59. doi.org/10.1080/146976….

Nakagawa, Kei, Mitsuyoshi Imamura, and Kenichi Yoshida. 2018. “Risk-Based Portfolios with Large Dynamic Covariance Matrices.” International Journal of Financial Studies 6 (2): 52. doi.org/10.3390/ijfs60….

Costa, Giorgio, and Roy Kwon. "A robust framework for risk parity portfolios." Journal of Asset Management 21, no. 5 (2020): 447-466. doi.org/10.1057/s41260…

De Prado, Marcos Lopez. "Building diversified portfolios that outperform out of sample." The Journal of Portfolio Management 42, no. 4 (2016): 59-69.doi.org/10.3905/jpm.20…

Plessis, Hannes du, and Paul van Rensburg. 2020. “Risk-Based Portfolio Sensitivity to Covariance Estimation.” Investment Analysts Journal 49 (3): 243–68. doi.org/10.1080/102935….

Zakamulin, Valeriy. 2015. “A Test of Covariance-Matrix Forecasting Methods.” The Journal of Portfolio Management 41 (3): 97–108. doi.org/10.3905/jpm.20….

Neffelli, Marco. 2018. “Target Matrix Estimators in Risk-Based Portfolios.” Risks 6 (4): 125. doi.org/10.3390/risks6….

DeMiguel, Victor, Alberto Martin-Utrera, and Francisco J. Nogales. 2013. “Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection.” Journal of Banking & Finance 37 (8): 3018–34. doi.org/10.1016/j.jban….

Moura, Guilherme V., @AndrePortelaSa1 , and Esther Ruiz. 2020. “Comparing High-Dimensional Conditional Covariance Matrices: Implications for Portfolio Selection.” Journal of Banking & Finance 118 (September): 105882. doi.org/10.1016/j.jban….

Bianchi, Daniele, Matthias Büchner, and Andrea Tamoni. "What Matters When? Time-Varying Sparsity in Expected Returns." Time-Varying Sparsity in Expected Returns (August 17, 2019). WBS Finance Group Research Paper (2019).papers.ssrn.com/sol3/papers.cf…

Madeira, Carlos. The impact of macroprudential policies on industrial growth. Banco Central de Chile, 2020.

Levi, Yaron, and Ivo Welch. "Symmetric and asymmetric market betas and downside risk." The Review of Financial Studies 33, no. 6 (2020): 2772-2795. doi.org/10.1093/rfs/hh…

Zhang, Shaojun. "Dissecting Currency Momentum." Journal of Financial Economics (2021). doi.org/10.1016/j.jfin…

Revisiting some volatility test papers
Mankiw, N. Gregory, David Romer, and Matthew D. Shapiro. 1985. “An Unbiased Reexamination of Stock Market Volatility.” The Journal of Finance 40 (3): 677–87. doi.org/10.1111/j.1540….

Mankiw, N. Gregory, David Romer, and Matthew D. Shapiro. 1991. “Stock Market Forecastability and Volatility: A Statistical Appraisal.” The Review of Economic Studies 58 (3): 455. doi.org/10.2307/2298006.

Engsted, Tom, Thomas Q Pedersen, and Carsten Tanggaard. 2012. “The Log-Linear Return Approximation, Bubbles, and Predictability,” 24.doi.org/10.1017/S00221…

A batch of reads and rereads on herding

Chang, Eric C, Joseph W Cheng, and Ajay Khorana. 2000. “An Examination of Herd Behavior in Equity Markets: An International Perspective.” Journal of Banking & Finance 24 (10): 1651–79. doi.org/10.1016/S0378-….

Gleason, Kimberly C., Chun I Lee, and Ike Mathur. 2003. “Herding Behavior in European Futures Markets.” Finance Research Letters 1: 5–8.

Gleason, Kimberly C., Ike Mathur, and Mark A. Peterson. 2004. “Analysis of Intraday Herding Behavior among the Sector ETFs.” Journal of Empirical Finance 11 (5): 681–94. doi.org/10.1016/j.jemp….

Demirer, Rıza, and Ali M. Kutan. 2006. “Does Herding Behavior Exist in Chinese Stock Markets?” Journal of International Financial Markets, Institutions and Money 16 (2): 123–42. doi.org/10.1016/j.intf….

Economou, Fotini, Alexandros Kostakis, and Nikolaos Philippas. 2011. “Cross-Country Effects in Herding Behaviour: Evidence from Four South European Markets.” Journal of International Financial Markets, Institutions and Money 21 (3): 443–60. doi.org/10.1016/j.intf….

Chen, Tao. 2013. “Do Investors Herd in Global Stock Markets?” Journal of Behavioral Finance 14 (3): 230–39. doi.org/10.1080/154275….

DeMiguel, Victor, Javier Gil-Bazo, Francisco J. Nogales, and Andre A. P. Santos. 2021. “Can Machine Learning Help to Select Portfolios of Mutual Funds?” SSRN Electronic Journal. doi.org/10.2139/ssrn.3….

Forgot to update this. Big batch of RV papers.

Arrieta-ibarra, Imanol, and Ignacio N. Lobato. 2015. “Testing for Predictability in Financial Returns Using Statistical Learning Procedures: TESTING PREDICTABILITY USING STATISTICAL LEARNING.” Journal of Time Series Analysis 36 (5): 672–86. doi.org/10.1111/jtsa.1….

Luong, Chuong, and Nikolai Dokuchaev. 2018. “Forecasting of Realised Volatility with the Random Forests Algorithm.” Journal of Risk and Financial Management 11 (4): 61. doi.org/10.3390/jrfm11….

Carr, Peter, Liuren Wu, and Zhibai Zhang. 2020. “USING MACHINE LEARNING TO PREDICT REALIZED VARIANCE,” 16.

Bucci, Andrea. 2020. “Cholesky–ANN Models for Predicting Multivariate Realized Volatility.” Journal of Forecasting 39 (6): 865–76. doi.org/10.1002/for.26….

Bucci, Andrea. 2020. “Realized Volatility Forecasting with Neural Networks.” Journal of Financial Econometrics 18 (3): 502–31. doi.org/10.1093/jjfine….

Donaldson, R.Glen, and Mark Kamstra. 1997. “An Artificial Neural Network-GARCH Model for International Stock Return Volatility.” Journal of Empirical Finance 4 (1): 17–46. doi.org/10.1016/S0927-….

Hu, Michael Y., and Christos Tsoukalas. 1999. “Combining Conditional Volatility Forecasts Using Neural Networks: An Application to the EMS Exchange Rates.” Journal of International Financial Markets, Institutions and Money 9 (4): 407–22. doi.org/10.1016/S1042-….

Hamid, Shaikh A., and Zahid Iqbal. 2004. “Using Neural Networks for Forecasting Volatility of S&P 500 Index Futures Prices.” Journal of Business Research 57 (10): 1116–25. doi.org/10.1016/S0148-….

Hillebrand, Eric, and Marcelo C. Medeiros. 2010. “The Benefits of Bagging for Forecast Models of Realized Volatility.” Econometric Reviews 29 (5–6): 571–93. doi.org/10.1080/074749…

Hajizadeh, E., A. Seifi, M.H. Fazel Zarandi, and I.B. Turksen. 2012. “A Hybrid Modeling Approach for Forecasting the Volatility of S&P 500 Index Return.” Expert Systems with Applications 39 (1): 431–36. doi.org/10.1016/j.eswa….

Kristjanpoller, Werner, Anton Fadic, and Marcel C. Minutolo. 2014. “Volatility Forecast Using Hybrid Neural Network Models.” Expert Systems with Applications 41 (5): 2437–42. doi.org/10.1016/j.eswa….

Schittenkopf, Christian, Georg Dorffner, and Engelbert J Dockner. 1999. “Forecasting Time-Dependent Conditional Densities: A Semi Non-Parametric Neural Network Approach.” Journal of Forecasting, 20.

Fernandes, Marcelo, Marcelo C. Medeiros, and Marcel Scharth. 2014. “Modeling and Predicting the CBOE Market Volatility Index.” Journal of Banking & Finance 40 (March): 1–10. doi.org/10.1016/j.jban….

Rosa, Raul, Leandro Maciel, Fernando Gomide, and Rosangela Ballini. 2014. “Evolving Hybrid Neural Fuzzy Network for Realized Volatility Forecasting with Jumps.” IEEE. doi.org/10.1109/CIFEr.….

Maciel, Leandro, Fernando Gomide, and Rosangela Ballini. 2016. “Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting.” Computational Economics 48 (3): 379–98. doi.org/10.1007/s10614….

Vortelinos, Dimitrios I. 2017. “Forecasting Realized Volatility: HAR against Principal Components Combining, Neural Networks and GARCH.” Research in International Business and Finance 39 (January): 824–39. doi.org/10.1016/j.riba….

Oordt, Maarten R. C. van, and Chen Zhou. 2016. “Systematic Tail Risk.” Journal of Financial and Quantitative Analysis 51 (2): 685–705. doi.org/10.1017/S00221….

Giannone, Domenico, Michele Lenza, and Giorgio E. Primiceri. "Economic predictions with big data: The illusion of sparsity." (2021).

Koop, Gary, and Dimitris Korobilis. 2020. “Bayesian Dynamic Variable Selection in High Dimensions.” SSRN Electronic Journal, 50.

Ormerod, J. T., and M. P. Wand. 2010. “Explaining Variational Approximations.” The American Statistician 64 (2): 140–53. doi.org/10.1198/tast.2….

Chiang, Thomas, Lin Tan, Jiandong Li, and Edward Nelling. 2013. “Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications.” Multinational Finance Journal 17 (3/4): 165–200. doi.org/10.17578/17-3/….

Spyrou, Spyros. 2013. “Herding in Financial Markets: A Review of the Literature.” Review of Behavioural Finance 5 (2): 175–94. doi.org/10.1108/RBF-02….

Banerjee, A. V. 1992. “A Simple Model of Herd Behavior.” The Quarterly Journal of Economics 107 (3): 797–817. doi.org/10.2307/2118364.

Youssef, Mouna, and Khaled Mokni. 2018. “On the Effect of Herding Behavior on Dependence Structure between Stock Markets: Evidence from GCC Countries.” Journal of Behavioral and Experimental Finance 20 (December): 52–63. doi.org/10.1016/j.jbef….

Mobarek, Asma, Sabur Mollah, and Kevin Keasey. 2014. “A Cross-Country Analysis of Herd Behavior in Europe.” Journal of International Financial Markets, Institutions and Money 32 (September): 107–27. doi.org/10.1016/j.intf….

Gębka, Bartosz, and Mark E. Wohar. 2013. “International Herding: Does It Differ across Sectors?” Journal of International Financial Markets, Institutions and Money 23 (February): 55–84. doi.org/10.1016/j.intf….

Choi, Nicole, and Hilla Skiba. 2015. “Institutional Herding in International Markets.” Journal of Banking & Finance 55 (June): 246–59. doi.org/10.1016/j.jban….

@threadreaderapp unroll pls

Galariotis, Emilios C., Wu Rong, and Spyros I. Spyrou. 2015. “Herding on Fundamental Information: A Comparative Study.” Journal of Banking & Finance 50 (January): 589–98. doi.org/10.1016/j.jban….

Tan, Lin, Thomas C. Chiang, Joseph R. Mason, and Edward Nelling. 2008. “Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares.” Pacific-Basin Finance Journal 16 (1–2): 61–77. doi.org/10.1016/j.pacf….

Klein, Arne C. "Time-variations in herding behavior: Evidence from a Markov switching SUR model." Journal of International Financial Markets, Institutions and Money 26 (2013): 291-304. doi.org/10.1016/j.intf…

Balcilar, M., Demirer, R. and Hammoudeh, S., 2013. Investor herds and regime-switching: Evidence from Gulf Arab stock markets. Journal of International Financial Markets, Institutions and Money, 23, pp.295-321. doi.org/10.1016/j.intf…

Galariotis, Emilios C., Styliani-Iris Krokida, and Spyros I. Spyrou. 2016. “Bond Market Investor Herding: Evidence from the European Financial Crisis.” International Review of Financial Analysis 48 (December): 367–75. doi.org/10.1016/j.irfa…

BenSaïda, Ahmed. 2017. “Herding Effect on Idiosyncratic Volatility in U.S. Industries.” Finance Research Letters 23 (November): 121–32. doi.org/10.1016/j.frl.….

Indārs, E.R., Savin, A. and Lublóy, Á., 2019. Herding behaviour in an emerging market: Evidence from the Moscow Exchange. Emerging Markets Review, 38, pp.468-487. doi.org/10.1016/j.emem…

Economou, F., Gavriilidis, K., Goyal, A. and Kallinterakis, V., 2015. Herding dynamics in exchange groups: Evidence from Euronext. Journal of International Financial Markets, Institutions and Money, 34, pp.228-244. doi.org/10.1016/j.intf…

Andrikopoulos, P., Hoefer, A.A. and Kallinterakis, V., 2014. On the impact of market mergers over herding: evidence from EURONEXT. Review of Behavioral Finance. doi.org/10.1108/RBF-12…

Kleidon, Allan W. 1986. “Variance Bounds Tests and Stock Price Valuation Models.” Journal of Political Economy 94 (5): 953–1001. doi.org/10.1086/261419.

Fei, T. and Liu, X., 2021. Herding and market volatility. International Review of Financial Analysis. doi.org/10.1016/j.irfa…

Ferreruela, Sandra, and Tania Mallor. 2021. “Herding in the Bad Times: The 2008 and COVID-19 Crises.” The North American Journal of Economics and Finance, August, 101531. doi.org/10.1016/j.naje….

Espinosa-Méndez, Christian, and Jose Arias. 2021. “COVID-19 Effect on Herding Behaviour in European Capital Markets.” Finance Research Letters 38 (January): 101787. doi.org/10.1016/j.frl.….

Bartram, S.M., Branke, J., De Rossi, G. and Motahari, M., 2021. Machine Learning for Active Portfolio Management. The Journal of Financial Data Science, 3(3), pp.9-30. doi.org/10.3905/jfds.2…

Makarov, Igor, and Antoinette Schoar. "Blockchain Analysis of the Bitcoin Market." Available at SSRN 3942181 (2021).papers.ssrn.com/sol3/papers.cf…

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Re-read: Freyberger, Joachim, Andreas Neuhierl, and Michael Weber. "Dissecting characteristics nonparametrically." The Review of Financial Studies 33, no. 5 (2020): 2326-2377. doi-org.eres.qnl.qa/10.1093/rfs/hh…

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