UNDERSTANDING THE IMPACT OF KEY DRIVERS ON BETTING AGAINST BETA: AN EMPIRICAL STUDY OF US ECONOMY

被引：0
|
作者：
Daniyal, Muhammad [1 ]
Yasser, Farah [1 ]
Iftikhar, Hafiza Ayesha [1 ]
机构：
[1] Univ Management & Technol, Hasan Murad Sch Management, Dept Banking & Finance, Lahore, Pakistan
来源：
RISUS-JOURNAL ON INNOVATION AND SUSTAINABILITY | 2024年 / 15卷 / 03期
关键词：
Betting against beta; Anomaly; USA economy; Trading volume; Time series; HML; Investor sentiments; STOCK RETURNS EVIDENCE; INVESTOR SENTIMENT; CROSS-SECTION; RISK;
D O I：
10.23925/2179-3565.2024v15i3p132-151
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This research paper investigates the factors that influence betting against beta anomalies, including interest rate (IR), investor sentiments (IS), USA stock trading volume (USV), momentum (MOM), high minus low (HML), small minus big (SMB), and market return in excess of T-bills (MKT). Monthly data is used in the current study for the period of 1987 to 2014 for US firms and data is analyze with the help of OLS regression. We find that HML, IS, and MOM have a significant positive impact on the BAB anomaly, while IR, MKT, and USV have a significant but negative impact. Prior research has not concurrently explored these factors, rendering our study distinct in its comprehensive analysis. The results of this study can be used by a variety of people to make more informed investment decisions and to improve the efficiency of the financial markets.
引用
收藏
页码：132 / 151
页数：20
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