BETA ANOMALY IN THE STOCK MARKET: IS BETTING AGAINST BETA A ROBUST FACT?

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Abdollahi Hooman; EBRAHIMI SEYED BABAK; Tayebi Hamed

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Seminar Paper

Paper Information

Seminar: INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND SUSTAINABLE MANAGEMENT
Year:2016 | Issue:1

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Title

BETA ANOMALY IN THE STOCK MARKET: IS BETTING AGAINST BETA A ROBUST FACT?

Author(s)

Abdollahi Hooman | EBRAHIMI SEYED BABAK | Tayebi Hamed

Keywords

SYSTEMATIC RISK

BETA

ABNORMAL RISK-RETURN RELATIONSHIP

CAPM

FINANCIAL ENGINEERING

Abstract

WHILE THE POSITIVE RELATIONSHIP BETWEEN BETA OF A STOCK AND ITS FUTURE RETURN IS IMPLIED BY CAPM, EMPIRICAL LITERATURE DOES NOT SUPPORT THIS PROPOSITION. THE 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. THE 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.

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APA: Copy

Abdollahi, Hooman, EBRAHIMI, SEYED BABAK, & Tayebi, Hamed. (2016). BETA ANOMALY IN THE STOCK MARKET: IS BETTING AGAINST BETA A ROBUST FACT?. INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND SUSTAINABLE MANAGEMENT. SID. https://sid.ir/paper/942922/en

Vancouver: Copy

Abdollahi Hooman, EBRAHIMI SEYED BABAK, Tayebi Hamed. BETA ANOMALY IN THE STOCK MARKET: IS BETTING AGAINST BETA A ROBUST FACT?. 2016. Available from: https://sid.ir/paper/942922/en

IEEE: Copy

Hooman Abdollahi, SEYED BABAK EBRAHIMI, and Hamed Tayebi, “BETA ANOMALY IN THE STOCK MARKET: IS BETTING AGAINST BETA A ROBUST FACT?,” presented at the INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND SUSTAINABLE MANAGEMENT. 2016, [Online]. Available: https://sid.ir/paper/942922/en

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