| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12686 |
| DP12686 Betting Against Correlation: Testing Theories of the Low-Risk Effect | |
| Lasse Heje Pedersen; Niels Joachim Gormsen | |
| 发表日期 | 2018-02-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We test whether the low-risk effect is driven by (a) leverage constraints and thus risk should be measured using beta vs. (b) behavioral effects and thus risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, where only volatility is related to idiosyncratic risk. Hence, the new factor betting against correlation (BAC) is particularly suited to differentiating between leverage constraints vs. lottery explanations. BAC produces strong performance in the US and internationally, supporting leverage constraint theories. Similarly, we construct the new factor SMAX to isolate lottery demand, which also produces positive returns. Consistent with both leverage and lottery theories contributing to the low-risk effect, we find that BAC is related to margin debt while idiosyncratic risk factors are related to sentiment and casino profits. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Leverage constraints Lottery demand Margin Sentiment |
| URL | https://cepr.org/publications/dp12686 |
| 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/541498 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen,Niels Joachim Gormsen. DP12686 Betting Against Correlation: Testing Theories of the Low-Risk Effect. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
