Beta-arbitrage strategies: when do they work, and why?
研究发现，做多低贝塔股票、做空高贝塔股票的贝塔套利策略能持续跑赢市场，并从市场多样性角度给出解释，还展示了如何构建最优策略。
Contrary to what traditional asset pricing would imply, a strategy that bets against beta, by going long in low beta stocks and short in high beta stocks, tends to outperform the market. We consider a market in which diversity is maintained, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out-perform the market portfolio. We provide empirical support to our explanation on equity country indices, equity sectors, individual stocks, and stock portfolios. Finally, we show how to construct optimal beta- arbitrage strategies that maximize the expected return relative to a given benchmark.