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