Getting Paid to Hedge: Why Don’t Investors Pay a Premium to Hedge Downturns?
研究发现，对冲市场低迷的股票本应预期收益低，但实际却获得显著正收益。通过构建可交易的安全减风险组合，发现其月均收益和四因子阿尔法约0.8%，风险模型无法解释，而错误定价可以解释：风险股在情绪高涨时被高估，导致后续月收益为-0.9%。
Stocks that hedge sustained market downturns should have low expected returns, but they do not. We use ex ante firm characteristics and covariances to construct a tradable safe minus risky (SMR) portfolio that hedges market downturns out of sample. Although downturns (peaks to troughs in market index levels at the business-cycle frequency) predict significant declines in gross domestic product growth, SMR has significant positive average returns and 4-factor alphas (both around 0.8% per month). Risk-based models do not explain SMR’s returns, but mispricing does. Risky stocks are overpriced when sentiment is high, resulting in subsequent returns of -0.9% per month.