| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16601 |
| 来源ID | Working Paper 16601 |
| Betting Against Beta | |
| Andrea Frazzini; Lasse H. Pedersen | |
| 发表日期 | 2010-12-09 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints. We test the model's predictions within U.S. equities, across 20 global equity markets, for Treasury bonds, corporate bonds, and futures. Consistent with the model, we find in each asset class that a betting-against-beta (BAB) factor which is long a leveraged portfolio of low-beta assets and short a portfolio of high-beta assets produces significant risk-adjusted returns. When funding constraints tighten, betas are compressed towards one, and the return of the BAB factor is low. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16601 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574275 |
| 推荐引用方式 GB/T 7714 | Andrea Frazzini,Lasse H. Pedersen. Betting Against Beta. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16601.pdf（494KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
