RT Journal Article SR Electronic T1 Industry Herding and Momentum JF The Journal of Investing FD Institutional Investor Journals SP 89 OP 96 DO 10.3905/joi.2012.21.1.089 VO 21 IS 1 A1 Zhipeng Yan A1 Yan Zhao A1 Libo Sun YR 2012 UL https://pm-research.com/content/21/1/89.abstract AB Theoretical models on herd behavior predict that under different assumptions, herding can drive prices away from (or toward) fundamentals and reduce (or enhance) market efficiency. In this article, we study the joint effect of herding and momentum at the industry level. We find that the momentum effect is magnified when there is a low level of investor herding. Herd behavior in investors helps move asset prices toward fundamentals, enhances market efficiency, and reduces the momentum effect. A trading strategy taking a long position in winner industries and a short position in loser industries when the herding level is low can generate significant returns.TOPICS: In portfolio management, portfolio construction, analysis of individual factors/risk premia