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The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly

Year 2017, Volume: 7 Issue: 1, 201 - 206, 01.03.2017

Hooman Abdollahi Seyed Babak Ebrahimi Hamed Tayebi

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

Behavioral finance Investor sentiment BAB factor

Year 2017, Volume: 7 Issue: 1, 201 - 206, 01.03.2017

Hooman Abdollahi Seyed Babak Ebrahimi Hamed Tayebi

Abstract

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Details

Other ID JA93JF58DA
Journal Section Research Article
Authors

Hooman Abdollahi This is me

Seyed Babak Ebrahimi This is me

Hamed Tayebi This is me

Publication Date March 1, 2017
Published in Issue Year 2017 Volume: 7 Issue: 1

Cite

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.
AMA Abdollahi H, Ebrahimi SB, Tayebi H. The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly. IJEFI. March 2017;7(1):201-206.
Chicago Abdollahi, Hooman, Seyed Babak Ebrahimi, and Hamed Tayebi. “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”. International Journal of Economics and Financial Issues 7, no. 1 (March 2017): 201-6.
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 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, 2017.
ISNAD 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 7/1 (March 2017), 201-206.
JAMA 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, 2017, pp. 201-6.
Vancouver 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):201-6.