Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly

• 成果类型: Article
• 署名作者: Cederburg, Scott; O'Doherty, Michael S.
• 署名单位: University of Arizona; University of Missouri System; University of Missouri Columbia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12383
• 发表日期: 2016
• 页码: 737-774
• 关键词: expected stock returns; cross-section; VALUE PREMIUM; risk premia; equilibrium; INVESTMENT; CAPM; distress; leverage; biases

摘要

Prior studies find that a strategy that buys high-beta stocks and sells low-beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to bet against beta. We show, however, that the conditional beta for the high-minus-low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward-biased estimate of the true alpha. We model the conditional market risk for beta-sorted portfolios using instrumental variables methods and find that the conditional CAPM resolves the beta anomaly.