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

Cilt: 7 Sayı: 1 1 Mart 2017
  • Hooman Abdollahi
  • Seyed Babak Ebrahimi
  • Hamed Tayebi
International Journal of Economics and Financial Issues Kapak
International Journal of Economics and Financial Issues
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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

Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

-

Yazarlar

Hooman Abdollahi Bu kişi benim

Seyed Babak Ebrahimi Bu kişi benim

Hamed Tayebi Bu kişi benim

Yayımlanma Tarihi

1 Mart 2017

Gönderilme Tarihi

1 Mart 2017

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2017 Cilt: 7 Sayı: 1

IZ

https://izlik.org/JA62TG48ME

Kaynak Göster

RIS / Bibtex
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, ve 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 (01 Mart 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, ve H. Tayebi, “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”, IJEFI, c. 7, sy 1, ss. 201–206, Mar. 2017, [çevrimiçi]. Erişim adresi: 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 (01 Mart 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, vd. “The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly”. International Journal of Economics and Financial Issues, c. 7, sy 1, Mart 2017, ss. 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]. 01 Mart 2017;7(1):201-6. Erişim adresi: https://izlik.org/JA62TG48ME