Bear beta

• 成果类型: Article
• 署名作者: Lu, Zhongjin; Murray, Scott
• 署名单位: University System of Georgia; University of Georgia; University System of Georgia; Georgia State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.09.006
• 发表日期: 2019
• 页码: 736-760
• 关键词: Arrow-Debreu state prices; Bear beta; Bear market risk; Downside risk; factor models

摘要

We test whether bear market risk, time variation in the probability of future bear market states, is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded Standard & Poor's (S&P) 500 index options and use its returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected stock returns that is robust, persistent, and remains strong among liquid and large stocks. Historical bear beta also predicts future bear market risk exposure. We conclude that bear market risk is priced in the cross section of stock returns. (C) 2018 Elsevier B.V. All rights reserved.