THE JOURNAL OF FINANCE·VOL. LXXI, NO. 5·OCTOBER 2016

投機性貝塔

作者：Harrison Hong (Princeton University), David A. Sraer (UC Berkeley)

摘要：現代資産定價理論的基石，即風險與收益的權衡關系，往往不成立。我們的解釋是，高貝塔資産很容易被投機性地高估。當投資者對股市的前景産生分歧時，高貝塔資産對這一總體的分歧比較敏感，（投資者）對它們的回報存在較大意見分歧，而且因為做空限制，它們的價格被高估。當總體分歧較低時，由于風險分擔，證券市場線是向上傾斜的；當其較高時，預期收益實際随貝塔的增大而減小。我們通過衡量對股市收益的分歧證實了我們的理論。

關鍵詞：貝塔，分歧，資本資産定價模型

Speculative Betas

Harrison Hong (Princeton University), David A. Sraer (UC Berkeley)

ABSTRACT

The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high-beta assets are prone to speculative overpricing. When investors disagree about the stock market's prospects, high-beta assets are more sensitive to this aggregate disagreement, experience greater divergence of opinion about their payoffs, and are overpriced due to short-sales constraints. When aggregate disagreement is low, the Security Market Line is upward-sloping due to risk-sharing. When it is high, expected returns can actually decrease with beta. We confirm our theory using a measure of disagreement about stock market earnings.

Keywords: Betas, disagreement, CAPM

原文鍊接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1967462

翻譯：任兆月