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This paper uses the cross-sectional variance of the betas to study herd behavior towards market index in major developed and emerging financial markets (categorized as developed group, Asian group, and Latin American group). The authors of this paper propose a robust regression technique to calculate the betas of the CAPM and those of the Fama-French three-factor model, with the intention of diminishing the impact of multivariate outliers in return data. Through the estimated values obtained from a state space model, they examine the evolution of herding measures, especially their pattern around sudden events such as the 1997-1998 financial crisis.
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