Photo by shidzuu from unsplash
Abstract We find that the beta anomaly in the Chinese stock market is mainly driven by behavioral effects measured by lottery demand or idiosyncratic risk. The betting against volatility factor… Click to show full abstract
Abstract We find that the beta anomaly in the Chinese stock market is mainly driven by behavioral effects measured by lottery demand or idiosyncratic risk. The betting against volatility factor that is closely related to behavioral effects produces significant positive alpha, while the alpha of the betting against correlation factor related to leverage constraints is insignificant. When a lottery demand or an idiosyncratic risk factor is added to the well-established factor models, the beta anomaly disappears.
Keywords:
motivated volatility;
volatility;
behavioral motivated;
factor;
volatility effect;
beta anomaly
Journal Title: Finance Research Letters
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Finance Research Letters
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!