THE JOURNAL OF FINANCE, Volume 71, Issue 2, April 2016, Pages: 737–774

与beta对赌能盈利吗？基于有条件的beta异常表现

作者：S Cederburg，MS O'Doherty

摘要：以往的研究发现买入高beta股票并卖出低beta股票的投资组合（多空组合）可以得到经过无条件CAPM模型调整后显著为负的alpha，这样的结果表明好像与beta对赌是可以盈利的。但是本文研究结果发现，多空组合的有条件beta与股权溢价负向相关，与市场波动性正向相关，因此多空组合的无条件alpha是组合真实alpha的向下有偏估计。本文利用工具变量法对按照beta排序得到的投资组合的有条件市场风险进行建模，发现经过有条件CAPM模型估计的多空组合收益解决了beta异象。

关键词：有条件的CAPM，异常beta，beta-收益关系

Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly

S Cederburg，MS O'Doherty

ABSTRACT

Prior studies find that a strategy that buys high-beta stocks and sells low-beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to “bet against beta.” We show, however, that the conditional beta for the high-minus-low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward-biased estimate of the true alpha. We model the conditional market risk for beta-sorted portfolios using instrumental variables methods and find that the conditional CAPM resolves the beta anomaly.

Keywords：Conditional CAPM, Beta Anomaly, Beta-Return Relation

原文链接：

https://www.researchgate.net/publication/299452310_Does_It_Pay_to_Bet_Against_Beta_On_the_Conditional_Performance_of_the_Beta_Anomaly

翻译：殷曼琳