Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns

• 成果类型: Article
• 署名作者: Bali, Turan G.; Engle, Robert F.; Tang, Yi
• 署名单位: Georgetown University; New York University; Fordham University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2536
• 发表日期: 2017
• 页码: 3760-3779
• 关键词: dynamic conditional beta; conditional capital asset pricing model; investor attention; buying intensity; and expected stock returns

摘要

This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest conditional beta decile produces average returns and alphas in the range of 0.60%-0.80% per month. We provide an investor attention-based explanation of this finding. We show that stocks with high conditional beta have strong attention-grabbing characteristics, leading to a higher fraction of buyer-initiated trades for these stocks. We also find that stocks recently bought perform significantly better than stocks recently sold. Hence, the high beta stocks that investors are more likely to buy have higher expected returns than the low beta stocks that investors are more likely to sell.