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

被引:38
作者
Bali, Turan G. [1 ]
Engle, Robert F. [2 ]
Tang, Yi [3 ]
机构
[1] Georgetown Univ, McDonough Sch Business, Washington, DC 20057 USA
[2] NYU, Stern Sch Business, New York, NY 10012 USA
[3] Fordham Univ, Sch Business, New York, NY 10023 USA
关键词
dynamic conditional beta; conditional capital asset pricing model; investor attention; buying intensity; and expected stock returns; ASSET PRICING MODEL; MARKET EQUILIBRIUM; RISK; ATTENTION; ILLIQUIDITY; BEHAVIOR; PRICES; CAPM;
D O I
10.1287/mnsc.2016.2536
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
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.
引用
收藏
页码:3760 / 3779
页数:20
相关论文
共 62 条
[11]   Maxing out: Stocks as lotteries and the cross-section of expected returns [J].
Bali, Turan G. ;
Cakici, Nusret ;
Whitelaw, Robert F. .
JOURNAL OF FINANCIAL ECONOMICS, 2011, 99 (02) :427-446
[12]   The intertemporal capital asset pricing model with dynamic conditional correlations [J].
Bali, Turan G. ;
Engle, Robert F. .
JOURNAL OF MONETARY ECONOMICS, 2010, 57 (04) :377-390
[13]   The Illiquidity of Corporate Bonds [J].
Bao, Jack ;
Pan, Jun ;
Wang, Jiang .
JOURNAL OF FINANCE, 2011, 66 (03) :911-946
[14]   All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors [J].
Barber, Brad M. ;
Odean, Terrance .
REVIEW OF FINANCIAL STUDIES, 2008, 21 (02) :785-818
[15]   Do Retail Trades Move Markets? [J].
Barber, Brad M. ;
Odean, Terrance ;
Zhu, Ning .
REVIEW OF FINANCIAL STUDIES, 2009, 22 (01) :151-186
[16]   A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J].
BOLLERSLEV, T ;
ENGLE, RF ;
WOOLDRIDGE, JM .
JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) :116-131
[17]   On persistence in mutual fund performance [J].
Carhart, MM .
JOURNAL OF FINANCE, 1997, 52 (01) :57-82
[18]   The market for borrowing stock [J].
D'Avolio, G .
JOURNAL OF FINANCIAL ECONOMICS, 2002, 66 (2-3) :271-306
[19]   Evidence on the characteristics of cross sectional variation in stock returns [J].
Daniel, K ;
Titman, S .
JOURNAL OF FINANCE, 1997, 52 (01) :1-33
[20]   RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].
DIMSON, E .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226