Betting against beta

• 成果类型: Article
• 署名作者: Frazzini, Andrea; Pedersen, Lasse Heje
• 署名单位: New York University; Copenhagen Business School; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.10.005
• 发表日期: 2014
• 页码: 1-25
• 关键词: asset prices; Leverage constraints; Margin requirements; liquidity; beta; CAPM

摘要

We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (I) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets, produces significant positive risk-adjusted returns. (3) When funding constraints tighten, the return of the BAB factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier assets. (C) 2013 Elsevier B.V. All rights reserved.