Betting Against (Bad) Beta

arXiv - QuantFin - Portfolio Management Pub Date : 2024-08-31 DOI:arxiv-2409.00416

Miguel C. Herculano

引用次数: 0

Abstract

Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor funding constraints. However, as argued by Campbell and Vuolteenaho (2004), beta comes in "good" and "bad" varieties. While gaining exposure to low-beta, BAB factors fail to recognize that such a portfolio may tilt towards bad-beta. We propose a Betting Against Bad Beta factor, built by double-sorting on beta and bad-beta and find that it improves the overall performance of BAB strategies though its success relies on proper transaction cost mitigation.

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与（糟糕的）贝塔值对赌

Frazzini 和 Pedersen（2014 年）提出的 "对赌贝塔系数"（BAB）是基于这样一种观点，即由于投资者的资金限制，高贝塔系数的资产会溢价交易，而低贝塔系数的资产会折价交易。然而，正如 Campbell 和 Vuolteenaho（2004 年）所指出的，贝塔系数有 "好 "和 "坏 "之分。在获得低贝塔值投资的同时，BAB 因子未能认识到这种投资组合可能会向坏贝塔值倾斜。我们通过对贝塔系数和坏贝塔系数进行双重排序，提出了一种 "对抗坏贝塔系数"（Betting Against Bad Beta）因子，并发现它能提高 BAB 策略的整体表现，尽管其成功依赖于适当的交易成本缓解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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arXiv - QuantFin - Portfolio Management

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