The volatility puzzle of the beta anomaly

• 成果类型: Article
• 署名作者: Barroso, Pedro; Detzel, Andrew; Maio, Paulo
• 署名单位: Universidade Catolica Portuguesa; Baylor University; Hanken School of Economics; Getulio Vargas Foundation
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.103994
• 发表日期: 2025
• 关键词: Realized volatility; Risk factors; Scaled factors; anomalies; Lottery preferences; Leverage constraints; Betting-against-beta; TIME-VARYING RISK

摘要

This paper shows that leading theories of the beta anomaly fail to explain the anomaly's conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases, and the resulting price impact is sufficient to explain the difference in abnormal BAB returns between high- and low-volatility states.