Journal of Finance and Data Science最新文献_第9页

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2022-04-12 DOI: 10.1016/j.jfds.2022.04.001

Thorsten Lehnert

{"title":"Betting against noisy beta","authors":"Thorsten Lehnert","doi":"10.1016/j.jfds.2022.04.001","DOIUrl":"https://doi.org/10.1016/j.jfds.2022.04.001","url":null,"abstract":"<div><p>Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity funds (net exchanges) on the Frazzini and Pedersen’s (2014) Betting Against Beta (BAB) factor in the US for a period 1984 until 2015. I find mispricing and reversal effects. In particular, when retail investors are caught up in the market euphoria, they are too optimistic, and shift their holdings from bond to equity mutual funds. My results suggest that higher-than-rational beta stocks are particularly exposed to this non-fundamental price pressure. Subsequently, the short-term reversal relation is stronger for high beta stocks and, therefore, returns are significantly lower. As a results, while the market performs poorly, the BAB factor returns are significantly positive. A dynamic trading strategy that is based on signals from past net exchanges and the BAB factor significantly outperforms the market factor by 0.71% monthly on average, during months following positive net exchanges by 1.62% and during market stress episodes by 2.14%. Accounting for transaction costs, other equity risk factors and non-standard procedures used in the BAB construction reduces the profitability of the strategy, but does not change the conclusions. My findings suggest that a major part of the success of the BAB factor is due to its exposure to flow-induced price noise.</p></div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"8 ","pages":"Pages 55-68"},"PeriodicalIF":0.0,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405918822000010/pdfft?md5=bf5f7e9ac7ab3c49a972681fa499145a&pid=1-s2.0-S2405918822000010-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92057695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The use of predictive analytics in finance 预测分析在金融中的应用

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2022-05-20 DOI: 10.1016/j.jfds.2022.05.003

Daniel Broby

引用次数: 0

Audit data analytics, machine learning, and full population testing 审计数据分析，机器学习和全人口测试

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2022-05-20 DOI: 10.1016/j.jfds.2022.05.002

Feiqi Huang , Won Gyun No , Miklos A. Vasarhelyi , Zhaokai Yan

引用次数: 7

Are there trade-offs with mandating timely disclosure of cybersecurity incidents? Evidence from state-level data breach disclosure laws 强制要求及时披露网络安全事件是否存在权衡?来自州级数据泄露披露法的证据

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2022-09-09 DOI: 10.1016/j.jfds.2022.08.001

Musaib Ashraf, John (Xuefeng) Jiang, Isabel Yanyan Wang

引用次数: 0

FinLex: An effective use of word embeddings for financial lexicon generation FinLex:有效地使用词嵌入来生成金融词汇

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2021-10-23 DOI: 10.1016/j.jfds.2021.10.001

Sanjiv R. Das , Michele Donini , Muhammad Bilal Zafar , John He , Krishnaram Kenthapadi

引用次数: 6

Performance attribution of machine learning methods for stock returns prediction 股票收益预测的机器学习方法的性能归因

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2022-04-14 DOI: 10.1016/j.jfds.2022.04.002

Stéphane Daul, Thibault Jaisson, Alexandra Nagy

引用次数: 0

Machine learning portfolio allocation 机器学习投资组合分配

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2021-12-23 DOI: 10.1016/j.jfds.2021.12.001

Michael Pinelis , David Ruppert

引用次数: 0

Improving insurers’ loss reserve error prediction: Adopting combined unsupervised-supervised machine learning techniques in risk management 改进保险公司损失准备金误差预测:在风险管理中采用联合无监督监督机器学习技术

Journal of Finance and Data Science Pub Date : 2022-11-01 Epub Date: 2022-10-04 DOI: 10.1016/j.jfds.2022.09.003

In Jung Song , Wookjae Heo

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引用次数: 2

CapitalVX: A machine learning model for startup selection and exit prediction CapitalVX:一个用于创业公司选择和退出预测的机器学习模型

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2021-05-11 DOI: 10.1016/j.jfds.2021.04.001

Greg Ross , Sanjiv Das , Daniel Sciro , Hussain Raza

引用次数: 0

Short-term bitcoin market prediction via machine learning 通过机器学习进行短期比特币市场预测

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2021-03-18 DOI: 10.1016/j.jfds.2021.03.001

Patrick Jaquart, David Dann, Christof Weinhardt

引用次数: 64