Abstract
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 most of the other G7 countries. The results also indicate that investor attention presents a unique capacity to explain future 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 individual investors are a relevant barrier to arbitrage strategies such as BAB.
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