Does behavioral-motivated volatility effect explain the beta anomaly? Evidence from China
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DOI: 10.1016/j.frl.2021.102265
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… read more here.
Keywords: motivated volatility; volatility; behavioral motivated; factor ... See more keywords
Behavioural heterogeneity in the capital asset pricing model with an application to the low-beta anomaly
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics Letters"
DOI: 10.1080/13504851.2020.1761529
Abstract: ABSTRACT This study extends the capital asset pricing model (CAPM) to situations where a subset of investors is not the mean-variance optimizers. The security market line (SML) relationship of the CAPM is shown to hold… read more here.
Keywords: pricing model; asset pricing; low beta; beta ... See more keywords