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

Yıl 2017, Cilt: 7 Sayı: 1, 201 - 206, 01.03.2017

Hooman Abdollahi Seyed Babak Ebrahimi Hamed Tayebi

Öz

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.

Anahtar Kelimeler

Behavioral finance Investor sentiment BAB factor

Yıl 2017, Cilt: 7 Sayı: 1, 201 - 206, 01.03.2017

Hooman Abdollahi Seyed Babak Ebrahimi Hamed Tayebi

Öz

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Ayrıntılar

Diğer ID JA93JF58DA
Bölüm Araştırma Makalesi
Yazarlar

Hooman Abdollahi Bu kişi benim

Seyed Babak Ebrahimi Bu kişi benim

Hamed Tayebi Bu kişi benim

Yayımlanma Tarihi 1 Mart 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 7 Sayı: 1

Kaynak Göster

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. Mart 2017;7(1):201-206.
Chicago Abdollahi, Hooman, Seyed Babak Ebrahimi, ve 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, sy. 1 (Mart 2017): 201-6.
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 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, 2017.
ISNAD 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 7/1 (Mart 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 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, 2017, ss. 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.