Behavioral Roots in Studying Betting Against Beta: A Review
Publish place: اولین کنفرانس ملی مدیریت و اقتصاد جهانی
Publish Year: 1395
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
MWECONF01_277
تاریخ نمایه سازی: 13 شهریور 1396
Abstract:
Empirical studies indicate that low beta stocks provide better and high beta stocks produce worse than expected returns. This beta anomaly is recognized as Betting Against Beta (BAB) in finance literature. Manystudies have been conducted to find explanations for this phenomenon, but this paper posits a new approach for studying this anomaly. Drawing on literature, the authors indicate that BAB phenomenon canbe explained by behavioral roots more effectively. This paper shows that high beta stocks have the characteristics that attract investor s sentiment, these stocks have attributes to be difficult-to-arbitrage and difficult-to-value stocks because they are small, unprofitable, volatile, growth, and perhaps young and non-dividend-paying stocks.
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Authors
Hooman Abdollahi
Department of Industrial Engineering, Karaj Branch, Islamic Azad University, Karaj, Iran.
Seyed Babak Ebrahimi
Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran.
Hamed Tayebi
Department of Industrial Engineering, Karaj Branch, Islamic Azad University, Karaj, Iran.