Investor behavior and the beta anomaly: Who benefits from betting against beta?
研究了不同类型投资者的交易行为与贝塔异象的关系，发现外国机构逆贝塔交易，而本地投资者追逐高贝塔股票，这有助于解释贝塔异象的持续存在。
We investigate the relationship between the trading behavior of different investor types and the beta anomaly. Our results show that foreign institutions trade against beta on average, increasing their holdings of low-beta stocks and reducing exposure to high-beta stocks. This effect is most pronounced in the post-GFC period and when the beta anomaly is strong. In contrast, local investors as a group tend to chase beta by favoring high-beta stocks even when these stocks underperform. While local individual investors generally purchase high-beta stocks, they shift toward low-beta stocks when the anomaly generates losses. Our findings highlight how heterogeneous trading behavior across investor types contributes to the persistence of the beta anomaly.