Entendendo o impacto dos principais impulsionadores nas apostas contra o beta

um estudo empírico da economia dos EUA

Autores

  • Muhammad Daniyal Department of Banking and finance HSM (Hassan Murad School of management) University of Management and technology Lahore Pakistan.
  • Farah Yasser University of Management and Technology
  • Hafiza Ayesha Iftikhar University of Management and Technology

DOI:

https://doi.org/10.23925/2179-3565.2024v15i3p132-151

Palavras-chave:

Apostas contra beta, Anomalia, Economia dos EUA, Volume de negócios, Séries temporais, HML, Sentimentos dos investidores

Resumo

Este artigo de pesquisa investiga os fatores que influenciam as apostas contra anomalias beta, incluindo taxa de juros (IR), sentimentos dos investidores (IS), volume de negociação de ações dos EUA (USV), momentum (MOM), alto menos baixo (HML), pequeno menos grande ( SMB) e retorno de mercado superior às letras do Tesouro (MKT). Os dados mensais são utilizados no presente estudo para o período de 1987 a 2014 para empresas dos EUA e os dados são analisados ​​com a ajuda da regressão OLS. Descobrimos que HML, IS e MOM têm um impacto positivo significativo na anomalia BAB, enquanto IR, MKT e USV têm um impacto significativo, mas negativo. Pesquisas anteriores não exploraram simultaneamente esses fatores, tornando nosso estudo distinto em sua análise abrangente. Os resultados deste estudo podem ser utilizados por diversas pessoas para tomar decisões de investimento mais informadas e para melhorar a eficiência dos mercados financeiros.

Biografia do Autor

Farah Yasser, University of Management and Technology

Assistant Professor in the Department of Banking and Finance, at Dr. Hasan Murad School of Management, University of Management and Technology Pakistan.

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Publicado

2024-11-27

Edição

v. 15 n. 3 (2024): Journal on Innovation and Sustainability

Seção

Artigos

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