{"title":"与（糟糕的）贝塔值对赌","authors":"Miguel C. Herculano","doi":"arxiv-2409.00416","DOIUrl":null,"url":null,"abstract":"Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on\nthe idea that high beta assets trade at a premium and low beta assets trade at\na discount due to investor funding constraints. However, as argued by Campbell\nand Vuolteenaho (2004), beta comes in \"good\" and \"bad\" varieties. While gaining\nexposure to low-beta, BAB factors fail to recognize that such a portfolio may\ntilt towards bad-beta. We propose a Betting Against Bad Beta factor, built by\ndouble-sorting on beta and bad-beta and find that it improves the overall\nperformance of BAB strategies though its success relies on proper transaction\ncost mitigation.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"55 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Betting Against (Bad) Beta\",\"authors\":\"Miguel C. Herculano\",\"doi\":\"arxiv-2409.00416\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on\\nthe idea that high beta assets trade at a premium and low beta assets trade at\\na discount due to investor funding constraints. However, as argued by Campbell\\nand Vuolteenaho (2004), beta comes in \\\"good\\\" and \\\"bad\\\" varieties. While gaining\\nexposure to low-beta, BAB factors fail to recognize that such a portfolio may\\ntilt towards bad-beta. We propose a Betting Against Bad Beta factor, built by\\ndouble-sorting on beta and bad-beta and find that it improves the overall\\nperformance of BAB strategies though its success relies on proper transaction\\ncost mitigation.\",\"PeriodicalId\":501045,\"journal\":{\"name\":\"arXiv - QuantFin - Portfolio Management\",\"volume\":\"55 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-08-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.00416\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.00416","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
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。
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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