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 Custom Hoodie 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, Multi-Tools sentiment, lottery demand or volatility.On aggregate, the findings suggest that individual investors play a relevant role on BAB performance.