How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings*
用简洁的学习模型提取市场风险敏感度、定价误差和定价不确定性的时变指标，发现美国股票组合的贝塔值存在低频波动，且价值股贝塔呈顺周期变化，投资增长能预测其走势。
Abstract I employ a parsimonious model with learning, but without conditioning information, to extract time‐varying measures of market‐risk sensitivities, pricing errors and pricing uncertainty. The evolution of these quantities has interesting implications for macroeconomic dynamics. Parameters estimated for US equity portfolios display significant low‐frequency fluctuations, along patterns that change across size and book‐to‐market stocks. Time‐varying betas display superior predictive accuracy for returns against constant and rolling‐window OLS estimates. As to the relationship of betas with business‐cycle variables, value stocks’ betas move pro‐cyclically, unlike those of growth stocks. Investment growth, rather than consumption, predicts the betas of value and small‐firm portfolios.