Does behavioral-motivated volatility effect explain the beta anomaly? Evidence from China

被引：3

作者：

Zhao, Lu ^{[1
]}

Lin, Lei ^{[1
]}

机构：

[1] Southwestern Univ Finance & Econ, Sch Finance, Chengdu 610074, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2022年 / 46卷

关键词：

Betting against volatility; Lottery demand; Idiosyncratic risk; CROSS-SECTION; STOCKS; RISK;

D O I：

10.1016/j.frl.2021.102265

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find that the beta anomaly in the Chinese stock market is mainly driven by behavioral effects measured by lottery demand or idiosyncratic risk. The betting against volatility factor that is closely related to behavioral effects produces significant positive alpha, while the alpha of the betting against correlation factor related to leverage constraints is insignificant. When a lottery demand or an idiosyncratic risk factor is added to the well-established factor models, the beta anomaly disappears.

引用

页数：9

共 17 条

[1] The cross-section of volatility and expected returns [J].

Ang, A ;

Hodrick, RJ ;

Xing, YH ;

Zhang, XY .

JOURNAL OF FINANCE, 2006, 61 (01) :259-299

[2] Betting against correlation: Testing theories of the low-risk effect [J].

Asness, Cliff ;

Frazzini, Andrea ;

Gormsen, Niels Joachim ;

Pedersen, Lasse Heje .

JOURNAL OF FINANCIAL ECONOMICS, 2020, 135 (03) :629-652

[3] A Lottery-Demand-Based Explanation of the Beta Anomaly [J].

Bali, Turan G. ;

Brown, Stephen J. ;

Murray, Scott ;

Tang, Yi .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2017, 52 (06) :2369-2397

[4] 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

[5]

Black F., 1972, STUDIES THEORY CAPIT, P79, DOI DOI 10.2139/SSRN.908569

[6] On persistence in mutual fund performance [J].

Carhart, MM .

JOURNAL OF FINANCE, 1997, 52 (01) :57-82

[7] Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly [J].

Cederburg, Scott ;

O'Doherty, Michael S. .

JOURNAL OF FINANCE, 2016, 71 (02) :737-774

[8] COMMON RISK-FACTORS IN THE RETURNS ON STOCKS AND BONDS [J].

FAMA, EF ;

FRENCH, KR .

JOURNAL OF FINANCIAL ECONOMICS, 1993, 33 (01) :3-56

[9] RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].

FAMA, EF ;

MACBETH, JD .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :607-636

[10] A five-factor asset pricing model [J].

Fama, Eugene F. ;

French, Kenneth R. .

JOURNAL OF FINANCIAL ECONOMICS, 2015, 116 (01) :1-22

← 1 2 →