When to bet against beta? Ask Google

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2025-03-01 DOI:10.1016/j.bir.2025.01.005

Pedro Piccoli

引用次数: 0

Abstract

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in all the other G7 countries. The results also indicate that investor attention presents a unique capacity to explain future betting against beta (BAB) performance that is not shared by other famous variables, such as liquidity constraints, sentiment, lottery demand or volatility. On aggregate, the findings suggest that individual investors play a relevant role on BAB performance.

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations