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Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
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Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
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Journal Article
Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
2016
Overview
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.
Publisher
Blackwell Publishing Ltd,Wiley Periodicals, Inc,Wiley$h1946,Blackwell Publishers Inc
Subject
