With the introduction of behavioral stocks (B-stocks), investors now have an alternative profitable investment option by exploiting the positive effect (positive cumulative abnormal return CAR) of irrational behaviors to stock price movements. Currently, all work on B-stocks only consider the cause-and-effect relations that expect B-stocks to have positive CARs after some time following the spotting of their respective causes. Thus, this study finds the other side and exploits the cause-and-effect relations that expect B-stocks to have negative CARs after some time following the spotting of their respective causes. We call this short-sell B-stocks. Accordingly, this study proposes a scenario-based mixed integer program that considers the short-selling of B-stocks under the inverse version of the safety-first portfolio selection model to maximize the negative price change of B-stocks within the portfolio. The result shows that the short-sell portfolio can outperform the market portfolio significantly; this also indicates that the proposed investment strategy can be another alternative profitable investment option that investors can exploit. Index Terms-Behavioral stocks, short-sell B-stocks, holding periods, investments, portfolio selection, short-selling I. INTRODUCTION With the popularity of behavioral finance, recent works by [1]-[4] introduced behavioral stocks (B-stocks). B-stocks are stocks which are affected by the collective irrational behaviors of investors. They study the connection between the irrational behaviors and the stock price movements. By identifying the cause and effect relationship between the bias and the stock returns, they determined which stocks are significantly affected by irrational behaviors. In other words, by identifying the respective operational definitions (ODs) of irrational behaviors, the cause-and-effect relationships between the irrational behavior and stock returns can be determined. These ODs reflect when a bias occurs, what is the bias trigger is (cause) and what happens (effect) after this
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