{"title":"When to bet against beta? Ask Google","authors":"Pedro Piccoli","doi":"10.1016/j.bir.2025.01.005","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 2","pages":"Pages 374-387"},"PeriodicalIF":7.1000,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845025000122","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/1/17 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
