Enhancing betting against beta with stochastic dominance
通过控制个股与市场组合的随机占优关系，改进广泛使用的“押注对贝塔”投资策略，排除被市场占优或占优市场的股票，显著提升多种业绩和风险指标，尤其对三阶随机占优效果明显，且对交易成本和不同市场条件稳健。
The performance of the widely used betting-against-beta (BAB) investment strategy is improved by controlling for the stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk-averse and prudent investors, are excluded from the short leg of the BAB strategy. Stocks that are dominated by the market are excluded from the long leg of the strategy. This prefiltering significantly enhances a wide range of performance and risk measures including abnormal returns relative to various factor models. The improvements are especially pronounced for the third-order SD, are robust to transaction costs and different market conditions.