期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2017
卷号：7
期号：1
页码：201-206
语种：English
出版社：EconJournals
摘要：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 JEL Classifications: G02, G10
其他摘要：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 JEL Classifications: G02, G10
