Herding in Smart-Beta Investment Products

Eduard Krkoska, Klaus Schenk-Hoppé

Research output: Contribution to journalArticlepeer-review


We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have not yet come to the fore. We point out promising and novel approaches of modelling herding risk which merit empirical analysis. This financial economists’ perspective supplements the vast statistical exploration of implementing factor strategies.
Original languageEnglish
Article number47
Number of pages14
JournalJournal of Risk and Financial Management
Issue number1
Publication statusPublished - 21 Mar 2019


  • herding
  • factor investing
  • risk


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