Beta Risk in the Cross-Section of Equities

• 成果类型: Article
• 署名作者: Boloorforoosh, Ali; Christoffersen, Peter; Fournier, Mathieu; Gourieroux, Christian
• 署名单位: Concordia University - Canada; University of Toronto; Copenhagen Business School; Universite de Montreal; HEC Montreal; Institut Polytechnique de Paris; ENSAE Paris
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz139
• 发表日期: 2020
• 页码: 4318
• 关键词: CONDITIONAL CAPM; long-run; asset; volatility; returns; premia; DYNAMICS; options; MARKET; jump

摘要

We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns, because their beta positively comoves with market variance and the SDF. The opposite is true for high-beta stocks. Estimating the model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving the betting against beta anomaly.