EN
The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly
Abstract
Beta anomaly is one of the greatest anomalies in finance literature as CAPM conveys a positive relationship between the beta of a stock and future returns; however, empirical studies do not document this proposition. Branded as betting against beta, this conundrum is known as a controversial subject. Drawing on literature the authors propose new multi-factor models to develop our understanding of betting against beta using investor sentiment as well as Structural Equation Modeling methodology to gauge the models in the presence of the top-down approach. Results indicate that investor sentiment provides a good explanation of the betting against beta. Limitation and future research directions are presented at the end of paper.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
March 1, 2017
Submission Date
March 1, 2017
Acceptance Date
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Published in Issue
Year 2017 Volume: 7 Number: 1
APA
Abdollahi, H., Ebrahimi, S. B., & Tayebi, H. (2017). The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly. International Journal of Economics and Financial Issues, 7(1), 201-206. https://izlik.org/JA62TG48ME
AMA
1.Abdollahi H, Ebrahimi SB, Tayebi H. The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly. IJEFI. 2017;7(1):201-206. https://izlik.org/JA62TG48ME
Chicago
Abdollahi, Hooman, Seyed Babak Ebrahimi, and Hamed Tayebi. 2017. “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”. International Journal of Economics and Financial Issues 7 (1): 201-6. https://izlik.org/JA62TG48ME.
EndNote
Abdollahi H, Ebrahimi SB, Tayebi H (March 1, 2017) The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly. International Journal of Economics and Financial Issues 7 1 201–206.
IEEE
[1]H. Abdollahi, S. B. Ebrahimi, and H. Tayebi, “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”, IJEFI, vol. 7, no. 1, pp. 201–206, Mar. 2017, [Online]. Available: https://izlik.org/JA62TG48ME
ISNAD
Abdollahi, Hooman - Ebrahimi, Seyed Babak - Tayebi, Hamed. “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”. International Journal of Economics and Financial Issues 7/1 (March 1, 2017): 201-206. https://izlik.org/JA62TG48ME.
JAMA
1.Abdollahi H, Ebrahimi SB, Tayebi H. The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly. IJEFI. 2017;7:201–206.
MLA
Abdollahi, Hooman, et al. “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”. International Journal of Economics and Financial Issues, vol. 7, no. 1, Mar. 2017, pp. 201-6, https://izlik.org/JA62TG48ME.
Vancouver
1.Hooman Abdollahi, Seyed Babak Ebrahimi, Hamed Tayebi. The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly. IJEFI [Internet]. 2017 Mar. 1;7(1):201-6. Available from: https://izlik.org/JA62TG48ME