شماره ركورد كنفرانس :
4187
عنوان مقاله :
Beta anomaly in the stock market: is betting against beta a robust fact?
پديدآورندگان :
Abdollahi Hooman Houman.abdolahi@gmail.com Department of Industrial Engineering, Karaj Branch, Islamic Azad University, Karaj, Iran , Ebrahimi Seyed Babak - Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran , Tayebi Hamed - Department of Industrial Engineering, Karaj Branch, Islamic Azad University, Karaj, Iran
كليدواژه :
Systematic Risk , Beta , Abnormal risk , return relationship , CAPM , Financial engineering
عنوان كنفرانس :
سومين كنفرانس ملي و اولين كنفرانس بين المللي مهندسي صنايع و مديريت پايدار
چكيده فارسي :
While the positive relationship between beta of a stock and its future return is implied by CAPM, empirical literature does not support this proposition. Th e recent advancements in risk-return relationship have documented the beta anomaly, or better still betting against beta, as the most complicated anomaly in finance. In this paper, the authors study the robustness of betting against beta phenomenon in the stock market via investigating it on absolute return and risk-adjusted basis using US market data over the period 1984-2012. To do this, beta-sorted quintile portfolios are used to estimate beta beside four multi-factor models. Th e results obtained provide evidence for existence of betting against beta on risk-adjusted basis only. Implications, discussion, and future research directions are discussed at the end of the paper.
