THE JOURNAL OF FINANCE·VOL. LXXI, NO. 5·OCTOBER 2016

投机性贝塔

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

摘要：现代资产定价理论的基石，即风险与收益的权衡关系，往往不成立。我们的解释是，高贝塔资产很容易被投机性地高估。当投资者对股市的前景产生分歧时，高贝塔资产对这一总体的分歧比较敏感，（投资者）对它们的回报存在较大意见分歧，而且因为做空限制，它们的价格被高估。当总体分歧较低时，由于风险分担，证券市场线是向上倾斜的；当其较高时，预期收益实际随贝塔的增大而减小。我们通过衡量对股市收益的分歧证实了我们的理论。

关键词：贝塔，分歧，资本资产定价模型

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.

Keywords: Betas, disagreement, CAPM

原文链接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1967462

翻译：任兆月