利用随机优势加强对贝塔值的投注

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-01-09 DOI:10.1016/j.jempfin.2023.101465

Olga Kolokolova , Xia Xu

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引用次数: 0

摘要

通过控制个股与市场投资组合之间的随机支配（SD）关系，提高了广泛使用的 "反贝塔投注（BAB）"投资策略的绩效。所有风险规避型和审慎型投资者都偏好的优势股票被排除在 BAB 策略的空头部分之外。被市场主导的股票则被排除在长线策略之外。与各种因素模型相比，这种预过滤方法大大提高了各种业绩和风险指标，包括异常收益。对三阶 SD 的改进尤为明显，而且不受交易成本和不同市场条件的影响。

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Enhancing betting against beta with stochastic dominance

The performance of the widely used betting-against-beta (BAB) investment strategy is improved by controlling for the stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk-averse and prudent investors, are excluded from the short leg of the BAB strategy. Stocks that are dominated by the market are excluded from the long leg of the strategy. This prefiltering significantly enhances a wide range of performance and risk measures including abnormal returns relative to various factor models. The improvements are especially pronounced for the third-order SD, are robust to transaction costs and different market conditions.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.