Financial Analyst Journal, Volume 71, Issue 6, 2016

在道琼斯工业平均股指中的流动性BAB因子

作者：Benjamin R. Auer (University of Leipzig)

摘要：作者在实际实施BAB策略时考虑了流动性和交易成本这两个因素。作者利用道琼斯工业平均指数在1926-2013年间的30只高流动性股票，分析了贝塔异常是否存在，如果存在，是否可以在该区间内使用。就其存在性而言，他们发现了支持相反的风险收益关系的有力证据。就其可使用性而言，他们发现纯粹的BAB交易投资组合和混合投资组合（纯投资组合与标准普尔500指数的组合）会产生显著的异常收益，这是标准资产定价因素无法解释的。他们的结果在交易成本之前和之后都保持不变，并且在各种环境下都很稳健

Liquid Betting against Beta in Dow Jones Industrial Average Stocks

Benjamin R. Auer (University of Leipzig)

ABSTRACT

The authors considered liquidity and transaction costs in the practical implementation of (BAB) strategies. Using the 30 highly liquid stocks of the Dow Jones Industrial Average over 1926–2013, they analyzed whether the beta anomaly exists and, if so, whether it can be exploited within that universe. With respect to its existence, they found strong evidence of an inverse risk–return relationship. With respect to its exploitability, they found that pure BAB trading portfolios and mixed portfolios (combinations of the pure portfolios and the S&P 500 Index) generate significant abnormal returns that cannot be explained by standard asset-pricing factors. Their results hold both before and after transaction costs and are robust in various settings.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v71.n6.4

翻译：秦秀婷