Betting against betting against beta

• 成果类型: Article
• 署名作者: Novy-Marx, Robert; Velikov, Mihail
• 署名单位: University of Rochester; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.023
• 发表日期: 2022
• 页码: 80-106
• 关键词: Factor Models; Beta-arbitrage; Defensive equity; Non-standard methods; asset pricing

摘要

Frazzini and Pedersen's (2014) Betting Against Beta (BAB) factor is based on the same basic idea as Blacks'(1972) beta-arbitrage, but its astonishing performance has generated academic interest and made it highly influential with practitioners. This performance is driven by non-standard procedures used in its construction that effectively, but non-transparently, equal weight stock returns. For each dollar invested in BAB, the strategy commits on average $1.05 to stocks in the bottom 1% of total market capitalization. BAB earns positive returns after accounting for transaction costs, but earns these by tilting toward profitability and investment. Predictable biases resulting from Frazzini and Pedersen's non-standard beta estimation procedure drive results presented as evidence supporting BAB's underlying theory. (c) 2021 Published by Elsevier B.V.