Betting Against (Bad) Beta
针对传统押注贝塔因子未区分好与坏贝塔的缺陷，提出通过双重排序构建押注坏贝塔因子，发现其能提升策略表现但需控制交易成本。
The Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor funding constraints. However, as argued by Campbell and Vuolteenaho [Bad beta, good beta. Am. Econ. Rev., 2004, 94, 1249–1275.] beta comes in ‘good’ and ‘bad’ varieties. While gaining exposure to low-beta, BAB factors fail to recognize that such a portfolio may tilt towards bad-beta. I propose a Betting Against Bad Beta factor, built by double-sorting on beta and bad-beta and find that it improves the overall performance of BAB strategies though its success relies on proper transaction cost mitigation.