Beta Bubbles
研究发现，机构持股广度或换手率上升后，股票的CAPM贝塔会暂时显著上升、阿尔法下降，这种由短期交易驱动的贝塔成分有助于解释CAPM的失败和“赌贝塔”策略的高收益。
We show that an increase in a stock’s breadth of institutional ownership or turnover is followed by a significant, but temporary, increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on beta estimates is mainly driven by short-term investors. These transitory trading-activity-driven components of beta estimates contribute to the empirical failure of the CAPM and the large returns to long-short portfolios that bet against beta. Relations between ownership breadth, turnover, and betas, which we document, help explain the puzzling fact that, on average, betas increase after seasoned equity offerings and stock splits and decrease after stock repurchases.Received November 26, 2015; editorial decision February 17, 2017 by Editor Jeffrey Pontiff.