解锁beta异象中的波动率影响
02 February 2018
刘佳楠, Robert F. Stambaugh, 袁宇
Beta异象,即高(低)beta股票的负(正)alpha,源于beta与异质波动率(IVOL)的正相关。在定价偏低的股票中,IVOL和alpha呈正相关关系,而在定价过高的股票中,IVOL和alpha之间呈现更强的负相关关系(Stambaugh, Yu, and Yuan, 2015)。这种更强的负相关与IVOL-beta正相关相结合,产生了beta异象。这种异象只有在定价过高的股票中才显着,而且只有在贝塔-IVOL相关性和定价过高的可能性同时较高的时期才会出现。无论是控制IVOL,还是简单地排除IVOL高的定价过高的股票,贝塔异象都不再显著。
The beta anomaly, negative (positive) alpha on stocks with high (low) beta, arises from beta’s positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative and stronger among over- priced stocks (Stambaugh, Yu, and Yuan, 2015). That stronger negative relation combines with the positive IVOL-beta correlation to produce the beta anomaly. The anomaly is significant only within overpriced stocks and only in periods when the beta-IVOL correlation and the likelihood of overpricing are simultaneously high. Either controlling for IVOL or simply excluding overpriced stocks with high IVOL renders the beta anomaly insignificant.
