Absolving beta of volatility's effects

• 成果类型: Article
• 署名作者: Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
• 署名单位: University of Pennsylvania; Shanghai Jiao Tong University; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.01.003
• 发表日期: 2018
• 页码: 1-15
• 关键词: Beta; Anomaly; volatility

摘要

The beta anomaly, negative (positive) alpha on stocks with high (low) beta, arises from beta's positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative and stronger among overpriced stocks (Stambaugh, Yu, and Yuan, 2015). That stronger negative relation combines with the positive IVOL-beta correlation to produce the beta anomaly. The anomaly is significant only within overpriced stocks and only in periods when the beta-IVOL correlation and the likelihood of overpricing are simultaneously high. Either controlling for IVOL or simply excluding overpriced stocks with high IVOL renders the beta anomaly insignificant. (C) 2018 Elsevier B.V. All rights reserved.