Speculative Betas

• 成果类型: Article
• 署名作者: Hong, Harrison; Sraer, David A.
• 署名单位: Princeton University; University of California System; University of California Berkeley; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12431
• 发表日期: 2016
• 页码: 2095-2144
• 关键词: COMMON-STOCK INVESTMENT; Heterogeneous expectations; Market equilibrium; cross-section; asset prices; returns; RISK; arbitrage; overconfidence; investors

摘要

The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high-beta assets are prone to speculative overpricing. When investors disagree about the stock market's prospects, high-beta assets are more sensitive to this aggregate disagreement, experience greater divergence of opinion about their payoffs, and are overpriced due to short-sales constraints. When aggregate disagreement is low, the Security Market Line is upward-sloping due to risk-sharing. When it is high, expected returns can actually decrease with beta. We confirm our theory using a measure of disagreement about stock market earnings.