Is the Low-Beta Anomaly Genuinely Resolved? A Further Examination and Implications for Asset Pricing
郭来特，中央财经大学中国金融发展研究院助理教授。麦克马斯特大学金融学硕士，博士。南开大学经济、管理学士。主要研究方向为资产定价，资本市场，金融计量，收益预测等。并对货币因子，数据估值，宏观金融，行为金融等领域有广泛兴趣。已在金融学权威期刊Journal of Banking and Finance发表独立作者论文。
Abstract
This study further examines the low-beta anomaly (LBA) and explores its asset-pricing implications. While recent studies propose that LBA is resolved by subsuming its alpha, we uncover a new LBA alpha unexplained by them. The newfound alpha is unexplained by extant factors, anomalies or unpriced risk, yet varies with economic conditions, suggesting links to latent return drivers. Therefore, LBA is not genuinely resolved, but we need a stricter criterion for assessing its resolution. Moreover, the newfound alpha provides insights into how latent return drivers interact with market risk: they exhibit a partial and negative correlation either with market returns in the times series or with market beta in the cross section. As LBA is a manifestation of beta failure, our finding offers insights for further refining asset-pricing models.
主持人：张泽华
湖南大学经济管理研究中心助理教授
加拿大McMaster大学DeGroote商学院金融学博士
时间：2023年11月24日 下午4:15-5:30
水教211
