Journal of Finance, Volume 71,Issue 5,October 2016,Pages 2095-2144

投机性贝塔

作者：Harrison Hong (Princeton University), David A. Sraer (UC Berkeley)

摘要：作为现代资产定价理论的基石——风险和收益之间的权衡，往往会发出错误的信号。我们认为，高贝塔资产更容易产生投机性的高估值。当投资者对于股市前景不满时，高贝塔值的资产对于风险与收益的不匹配更为敏感，且该类资产的收益与风险的不一致性更大，同时由于卖空限制资产价格会被高估。当风险-收益不匹配程度较小时，证券市场线由于风险分担而向上倾斜。当不匹配程度较大时，期望收益实际上随贝塔的增加而减小。我们利用风险和收益的不一致来测算了股票市场的收益，以此验证了我们的理论。

Speculative Betas

Harrison Hong (Princeton University), David A. Sraer ( UC Berkeley)

ABSTRACT

The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high-beta assets are prone to speculative overpricing. When investors disagree about the stock market's prospects, high-beta assets are more sensitive to this aggregate disagreement, experience greater divergence of opinion about their payoffs, and are overpriced due to short-sales constraints. When aggregate disagreement is low, the Security Market Line is upward-sloping due to risk-sharing. When it is high, expected returns can actually decrease with beta. We confirm our theory using a measure of disagreement about stock market earnings.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12431/full

翻译：秦秀婷