Low‐Risk Anomalies?
发现资本资产定价模型和传统因子模型中的低风险异常源于投资者对共偏度风险的补偿，控制偏度后，做空高贝塔和高波动策略的异常收益消失。
ABSTRACT This paper shows that low‐risk anomalies in the capital asset pricing model and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option‐implied ex ante skewness is strongly related to ex post residual coskewness, which allows us to construct coskewness factor‐mimicking portfolios. Controlling for skewness renders the alphas of betting‐against‐beta and betting‐against‐volatility insignificant. We also show that the returns of beta‐ and volatility‐sorted portfolios are driven largely by a single principal component, which in turn is explained largely by skewness.