Advances in Economics, Management and Political Sciences

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Proceedings of the 6th International Conference on Economic Management and Green Development (ICEMGD 2022), Part Ⅰ

Series Vol. 3 , 21 March 2023


Open Access | Article

The Influence Mechanism of Investor Behavior Deviation on Beta Anomalies in the Perspective of Behavioral Finance

Yuhan Feng * 1
1 Beijing University of Posts and Telecommunications, Beitaipingzhuang street, Haidian District, Beijing ,100876, China.

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 3, 70-79
Published 21 March 2023. © 21 March 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Yuhan Feng. The Influence Mechanism of Investor Behavior Deviation on Beta Anomalies in the Perspective of Behavioral Finance. AEMPS (2023) Vol. 3: 70-79. DOI: 10.54254/2754-1169/3/2022765.

Abstract

There are many interference factors in the real capital market, such as the ineffectiveness of the capital asset pricing model, and even the negative correlation between the systematic risk and return. Based on the basic theory of behavioral finance, this paper empirically tests the influence mechanism of investors' behavior deviation on a beta anomaly by taking China's A-share listed companies as samples from 2017 to 2020. It is found that both the strategy of buying the winner and the strategy of contrarian investment are positively related to the beta anomaly, that is, the higher the probability of irrational investors adopting these two strategies, the higher the probability of beta anomaly in the A-share market. The research conclusion provides new empirical evidence for understanding the relationship between investor behavior deviation and beta anomaly and also provides a certain reference for relevant departments to monitor market risk.

Keywords

empirical test, beta anomaly, the strategy of buying the winner, contrarian investment, behavioral finance

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 6th International Conference on Economic Management and Green Development (ICEMGD 2022), Part Ⅰ
ISBN (Print)
978-1-915371-15-7
ISBN (Online)
978-1-915371-16-4
Published Date
21 March 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/3/2022765
Copyright
21 March 2023
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated