| dc.contributor.author | Sarika Rakhyani | |
| dc.contributor.author | Sanjay Sehgal | |
| dc.contributor.author | Florent Deisting | |
| dc.contributor.other | Department of Finance and Business Economics, University of Delhi, India; Corresponding author. | |
| dc.contributor.other | Department of Finance and Business Economics, University of Delhi, India | |
| dc.contributor.other | TBS Education, France | |
| dc.date.accessioned | 2025-08-27T04:49:42Z | |
| dc.date.accessioned | 2025-10-08T08:27:08Z | |
| dc.date.available | 2025-10-08T08:27:08Z | |
| dc.date.issued | 01-09-2025 | |
| dc.identifier.uri | http://digilib.fisipol.ugm.ac.id/repo/handle/15717717/35920 | |
| dc.description.abstract | This study examines the performance of trading strategies based on beta, idiosyncratic volatility (IVOL), MAX (lottery behavior), skewness, and tail risk in five major Asian markets, using data from 1999 to 2021. The most important determinant of cross-sectional differences in strategy premiums is financial market development, followed by market sentiment and coskewness. The study highlights the time-varying performance of risk-based strategies. “Betting against risk” strategies, except for skewness, work only during downturns, whereas “betting for risk” strategies work during upturns. Hence, a disposition effect is observed over time; investors are risk seekers in downturns and risk-averse in upturns. With respect to skewness, investors prefer positively skewed stocks during downturns. However, the findings for the sample markets are mixed during upturns. The Fama-French five-factor model performs reasonably well, except for three trading strategies. Various behavioral biases explain the premiums on different risk-based strategies. | |
| dc.language.iso | EN | |
| dc.publisher | Elsevier | |
| dc.subject.lcc | Finance | |
| dc.title | Time-varying performance of betting against beta (BAB) and other risk-based anomalies: Evidence from Asia | |
| dc.type | Article | |
| dc.description.keywords | G1 | |
| dc.description.keywords | G4 | |
| dc.description.keywords | G11 | |
| dc.description.keywords | G12 | |
| dc.description.keywords | G14 | |
| dc.description.keywords | G15 | |
| dc.description.pages | 908-929 | |
| dc.description.doi | 10.1016/j.bir.2025.05.009 | |
| dc.title.journal | Borsa Istanbul Review | |
| dc.identifier.oai | eb3ec79d26094b848567e0d56da712da | |
| dc.journal.info | Volume 25, Issue 5 | |
