Beta Risk in the Cross-Section of Equities
构建了一个连续时间条件资本资产定价模型，允许贝塔暴露随机变化，发现贝塔与市场方差和随机贴现因子的正协动导致低贝塔股票获得高收益，从而解释了“押注低贝塔”异象。
Abstract We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns, because their beta positively comoves with market variance and the SDF. The opposite is true for high-beta stocks. Estimating the model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving the “betting against beta” anomaly. Authors have furnished code and an Internet Appendix, which are available on the Oxford University Press Web site next to the link to the final published paper online.