TY - JOUR AU - Abdollahi, Hooman AU - Ebrahimi, Seyed Babak AU - Tayebi, Hamed PY - 2017/01/13 Y2 - 2024/03/28 TI - The Effect of Investor Sentiment on Betting Against Beta: A SEM Approach Towards Beta Anomaly JF - International Journal of Economics and Financial Issues JA - IJEFI VL - 7 IS - 1 SE - Articles DO - UR - https://econjournals.com/index.php/ijefi/article/view/3068 SP - 201-206 AB - <p>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.</p><p><strong>Keywords:</strong> Behavioral finance, Investor sentiment, BAB factor</p><p><strong>JEL Classifications:</strong><strong> </strong>G02, G10<strong> </strong></p> ER -