Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/270012 
Year of Publication: 
2020
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Article No.:] 1844399 [Year:] 2020 [Pages:] 1-19
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The study shows critical roles of firm-specific information on herd behavior, which is underexplored in prior literature, albeit an increasing impact of firm-specific information on asset pricing. The main finding demonstrates that three of four selected measures of firm-specific information (return residual, return skewness, and information discreteness) are associated with the aggregate herd behavior in the Thai equity market. The return residual delineates the greatest impacts in most cases, especially during the financial turbulence periods. Herd behavior with firm-specific information is observed at all times. More importantly, less corporate transparency, more noise trading, large asymmetric risk, and low liquidity are the main drivers of intentional herd behavior.
Subjects: 
behavioral finance
financial crisis
firm-specific information
herd behavior
Thailand
JEL: 
G14
G40
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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