When to bet against beta? Ask Google

When to bet against beta? Ask Google

Blog Article

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 Sherlocks 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 Helicopter Kit individual investors play a relevant role on BAB performance.