A Lottery-Demand-Based Explanation of the Beta Anomaly
研究发现投资者对彩票型股票的需求是贝塔异象的重要驱动因素，控制彩票需求后该异象消失，且异象集中在机构持股低、彩票需求对高贝塔股价格影响大的股票中。
The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta anomaly, is one of the most persistent anomalies in empirical asset pricing research. This article demonstrates that investors’ demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to lottery demand, regression specifications control for lottery demand, or factor models include a lottery demand factor. The beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact of lottery demand is concentrated in high-beta stocks.