Decomposing the relation between irrational behaviors and beta
研究了非理性交易行为（自主切换和羊群效应）与股票贝塔之间的双向因果关系，发现高贝塔和低贝塔资产分别吸引不同类型的非理性行为，而羊群效应通过排斥理性交易者正向预测贝塔。
This paper investigates the bidirectional relation between irrational behaviors and beta. There are two representative irrational noise trading behaviors, autonomous switching and herding. The panel VAR estimation results suggest a two-way Granger causality. On the one hand, beta Granger-causes irrational behaviors. High-beta assets and low-beta assets attract autonomous switching and herding, respectively. Beta's heterogeneous attractiveness stems from the opinion divergence of investors. On the other hand, herding Granger-causes beta positively. The predictive ability of herding for beta arises since herding repels rational traders. The behavior-beta relation differs in optimistic and pessimistic conditions and persists in the environments generalizable to developed markets.