异常的波动性之谜

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2025-01-24 DOI:10.1016/j.jfineco.2025.103994

Pedro Barroso , Andrew Detzel , Paulo Maio

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引用次数: 0

摘要

本文表明，β异常的主要理论未能解释异常的条件表现。在实际波动率低于中位数的几个月后，即使控制了错误定价、套利限制、彩票偏好、分析师意见分歧和情绪，异常回报和押注与贝塔（BAB）因素的夏普比率也会上升。此外，杠杆约束理论反事实地预测市场和BAB夏普比率随波动而增加。我们进一步表明，随着波动性的增加，机构投资者的需求从高贝塔股票转向低贝塔股票，由此产生的价格影响足以解释高波动性和低波动性状态之间异常BAB回报的差异。

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The volatility puzzle of the beta anomaly

This paper shows that leading theories of the beta anomaly fail to explain the anomaly’s conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases, and the resulting price impact is sufficient to explain the difference in abnormal BAB returns between high- and low-volatility states.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.