Risk appetite and (mis)pricing
重新检验了贝塔与收益的关系，发现证券市场线的斜率和截距随总体风险厌恶程度变化，低风险厌恶时斜率变负、截距显著为正，投资者情绪仅在此时有影响。
This paper reexamines the beta-return relation through the lens of time-varying risk aversion. We show that the security market line (SML) depends critically on the level of aggregate risk aversion. During periods of high risk aversion, the SML exhibits a positive slope and an intercept that is statistically indistinguishable from zero, with investor sentiment playing only a minor role. During periods of low risk aversion, the SML slope becomes negative and the intercept is significantly positive. Investor sentiment affects the SML only when risk aversion is low. These patterns are robust across alternative portfolio constructions, longer investment horizons, and multiple measures of risk aversion.