Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
研究发现，买入高贝塔股票、卖出低贝塔股票的策略在无条件资本资产定价模型下表现为负超额收益，但条件贝塔与股权溢价负相关、与市场波动正相关，导致无条件阿尔法低估真实收益，条件CAPM可解释该异象。
ABSTRACT Prior studies find that a strategy that buys high‐beta stocks and sells low‐beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to “bet against beta.” We show, however, that the conditional beta for the high‐minus‐low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward‐biased estimate of the true alpha. We model the conditional market risk for beta‐sorted portfolios using instrumental variables methods and find that the conditional CAPM resolves the beta anomaly.