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

與beta對賭能盈利嗎？基于有條件的beta異常表現

作者：S Cederburg，MS O'Doherty

摘要：以往的研究發現買入高beta股票并賣出低beta股票的投資組合（多空組合）可以得到經過無條件CAPM模型調整後顯著為負的alpha，這樣的結果表明好像與beta對賭是可以盈利的。但是本文研究結果發現，多空組合的有條件beta與股權溢價負向相關，與市場波動性正向相關，因此多空組合的無條件alpha是組合真實alpha的向下有偏估計。本文利用工具變量法對按照beta排序得到的投資組合的有條件市場風險進行建模，發現經過有條件CAPM模型估計的多空組合收益解決了beta異象。

關鍵詞：有條件的CAPM，異常beta，beta-收益關系

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

原文鍊接：

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

翻譯：殷曼琳