Abstract:

Abstract We based our work on the Prospect Theory (Kahneman & Tversky, 1979), from the heuristic perspective of the herd effect, and our general objective was to investigate the relationship between the subprime crisis, the news publication and the size of the company with behavior herd in the 100 companies with the largest trading volumes listed on the [B]3 - Brazilian Stock Exchange, from 2007 to 2016. In order to achieve this, we initially employed, as methodology, the cross-sectional absolute deviation of returns (CSAD) model, proposed by Chang, Cheng and Khorana (2004), to identify the presence of the herd effect. The relationships among the variables were analyzed through the regression of the panel data model with fixed effects and robust standard errors. In general, the results found indicated a positive relationship among the herd behavior, the subprime crisis and the publication of good news; however, revealed a negative relationship with the size of the company. For the Bad News variable, the results did not show statistical signifimayce (p-value > 0.26), so the hypothesis of a negative relationship between the herd effect and the bad news was rejected. Concluding, investors are influenced by the positive news about companies, and this tends to generate in them an investment behavior similar to that presented by the larger groups of investors, i.e., the herd effect. Author Biographies Vanessa Meneses Silva, Federal University of Paraíba Federal University of Paraíba. Address: Campus I - Lot. Cidade Universitaria |58051-900| João Pessoa/PB | Brazil. Wenner Glaucio Lopes Lucena, Federal University of Paraíba Federal University of Paraíba. Address: Campus I - Lot. Cidade Universitaria |58051-900| João Pessoa/PB | Brazil. References Agnew, J. R., &Szykman, L. R. (2005). Asset allocation and information overload: the influence of information display, asset choice, and investor experience. The JournalofBehavioralFinance, 6(2), 57-70. DOI: https://doi.org/10.1207/s15427579jpfm0602_2

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