作者
Turan G Bali, Stephen J Brown, Scott Murray, Yi Tang
发表日期
2017/12
期刊
Journal of Financial and Quantitative Analysis
卷号
52
期号
6
页码范围
2369-2397
出版商
Cambridge University Press
简介
The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta anomaly, is one of the most persistent anomalies in empirical asset pricing research. This article demonstrates that investors’ demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to lottery demand, regression specifications control for lottery demand, or factor models include a lottery demand factor. The beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact of lottery demand is concentrated in high-beta stocks.
学术搜索中的文章
TG Bali, SJ Brown, S Murray, Y Tang - Journal of Financial and Quantitative Analysis, 2017
TG Bali, SJ Brown, S Murray, Y Tang - Available at SSRN 2481344, 2014
TG Bali, S Brown, S Murray, Y Tang - 2009
TG Bali, S Brown, S Murray, Y Tang - Social Science Research Network, Rochester, NY, 2014
TG Bali, SJ Brown, S Murray, Y Tang - SSRN working paper, 2014