| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11531 |
| DP11531 The Booms and Busts of Beta Arbitrage | |
| Christopher Polk; Dong Lou | |
| 发表日期 | 2016-09-25 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Low-beta stocks deliver high average returns and low risk relative to high-beta stocks, an opportunity for professional investors to “arbitrage” away. We argue that beta-arbitrage activity instead generates booms and busts in the strategy’s abnormal trading profits. In times of low activity, the beta-arbitrage strategy exhibits delayed correction, taking up to three years for abnormal returns to be realized. In stark contrast, when activity is high, prices overshoot as short-run abnormal returns are much larger and then revert in the long run. These cyclical patterns also show up in hedge fund exposures to beta arbitrage, particularly exposures of smaller and thus more nimble funds, and can be linked to the past performance of the strategy. We document a novel positive-feedback channel operating through firm-level leverage that facilitates these boom and bust cycles. |
| 主题 | Financial Economics |
| 关键词 | Betting against beta Positive-feedback trading Crowded trades |
| URL | https://cepr.org/publications/dp11531 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540345 |
| 推荐引用方式 GB/T 7714 | Christopher Polk,Dong Lou. DP11531 The Booms and Busts of Beta Arbitrage. 2016. |
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