基于彩票需求的β异常解释

Georgetown University McDonough School of Business Research Paper Series Pub Date : 2016-12-01 DOI:10.2139/SSRN.2408146

Turan G. Bali, Stephen J. Brown, Scott Murray, Yi Tang

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引用次数: 162

摘要

高(低)贝塔股票的低(高)异常收益，我们称之为贝塔异常，是实证资产定价研究中最持久的异常之一。本文证明投资者对彩票类股票的需求是贝塔异常的重要驱动因素。当β排序的投资组合被彩票需求中和，回归规范控制彩票需求，或者因子模型包括彩票需求因素时，β异常不再被检测到。贝塔异常集中在低机构持股水平的股票中，只有当彩票需求的价格影响集中在高贝塔股票时，贝塔异常才存在。

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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A Lottery Demand-Based Explanation of the Beta Anomaly

The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta anomaly, is one of the most persistent anomalies in empirical asset pricing research. This article demonstrates that investorsâ€™ demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to lottery demand, regression specifications control for lottery demand, or factor models include a lottery demand factor. The beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact of lottery demand is concentrated in high-beta stocks.

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Georgetown University McDonough School of Business Research Paper Series

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