The Booms and Busts of Beta Arbitrage

References

• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Google Scholar
• Anton M, Polk C (2014) Connected stocks. J. Finance 69:1099–1127.Crossref, Google Scholar
• Antoniou C, Doukas JA, Subrahmanyam A (2015) Investor sentiment, beta, and the cost of equity capital. Management Sci. 62:347–367.Link, Google Scholar
• Baker M, Wurgler J (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61:1645–1680.Crossref, Google Scholar
• Baker M, Wurgler J (2007) Investor sentiment in the stock market. J. Econom. Perspect. 21:129–152.Crossref, Google Scholar
• Baker M, Bradley B, Taliaferro R (2014) The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts J. 70:43–58.Crossref, Google Scholar
• Baker M, Bradley B, Wurgler J (2011) Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts J. 67:40–54.Crossref, Google Scholar
• Bali TG, Cakici N, Whitelaw RF (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99:427–446.Crossref, Google Scholar
• Bali TG, Brown SJ, Murray S, Tang Y (2017) A lottery-demand-based explanation of the beta anomaly. J. Financial Quant. Anal. 52:2369–2397.Crossref, Google Scholar
• Barberis N, Huang M (2008) Stocks as lotteries: The implications of probability weighting for security prices. Amer. Econom. Rev. 98:2066–2100.Crossref, Google Scholar
• Barberis N, Shleifer A (2003) Style investing. J. Financial Econom. 68:161–199.Crossref, Google Scholar
• Barberis N, Shleifer A, Wurgler J (2005) Comovement. J. Financial Econom. 75:283–317.Crossref, Google Scholar
• Black F (1972) Capital market equilibrium with restricted borrowing. J. Bus. 45:444–454.Crossref, Google Scholar
• Black F, Jensen MC, Scholes M (1972) The capital asset pricing model: Some empirical tests. Jensen MC, ed. Studies in the Theory of Capital Markets (Praeger, New York), 79–121.Google Scholar
• Blitz D, van Vliet P (2007) The volatility effect. J. Portfolio Management 34:102–113.Crossref, Google Scholar
• Blitz D, Pang J, van Vliet P (2013) The volatility effect in emerging markets. Emerging Markets Rev. 16:31–45.Crossref, Google Scholar
• Buffa A, Vayanos D, Woolley P (2022) Asset management contracts and equilibrium prices. J. Political Econom. 130:3146–3201.Crossref, Google Scholar
• Campbell J, Giglio S, Polk C, Turley R (2018) An intertemporal CAPM with stochastic volatility. J. Financial Econom. 128:207–233.Crossref, Google Scholar
• Cao C, Chen Y, Liang B, Lo A (2013) Can hedge funds time market liquidity? J. Financial Econom. 109:493–516.Crossref, Google Scholar
• Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52:57–82.Crossref, Google Scholar
• Chen Z, Lu A (2019) A market-based funding liquidity measure. Rev. Asset Pricing Stud. 9:356–393.0Crossref, Google Scholar
• Cohen RB, Polk C, Vuolteenaho T (2005) Money illusion in the stock market: The Modigliani-Cohn hypothesis. Quart. J. Econom. 70:639–668.Google Scholar
• Cremers M, Petajisto A, Zitzewitz E (2013) Should benchmark indices have alpha? Revisiting performance evaluation. Critical Finance Rev. 2:1–48.Crossref, Google Scholar
• DeLong JB, Shleifer A, Summers LH, Waldmann R (1990) Positive feedback investment strategies and destabilizing rational speculation. J. Finance 45:379–395.Crossref, Google Scholar
• Fama EF, French KR (1992) The cross-section of expected stock returns. J. Finance 47:427–465.Crossref, Google Scholar
• Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116:1–22.Crossref, Google Scholar
• Fama EF, MacBeth JD (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
• Frazzini A, Pedersen LH (2014) Betting against beta. J. Financial Econom. 111:1–25.Crossref, Google Scholar
• Friedman M (1953) The methodology of positive economics. Essays in Positive Economics (Chicago University Press, Chicago), 3–46.Google Scholar
• Greenwood R, Thesmar D (2011) Stock price fragility. J. Financial Econom. 102:471–490.Crossref, Google Scholar
• Hong H, Sraer D (2016) Speculative betas. J. Finance 71:2095–2144.Crossref, Google Scholar
• Jylhä P (2018) Margin requirements and the security market line. J. Finance 73:1281–1321.Crossref, Google Scholar
• Karceski J (2002) Returns-chasing behavior, mutual funds, and beta’s death. J. Financial Quant. Anal. 37:559–594.Crossref, Google Scholar
• Kumar A (2009) Who gambles in the stock market? J. Finance 64:1889–1933.Crossref, Google Scholar
• Lintner J (1965) The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. 47:13–37.Crossref, Google Scholar
• Liu J, Stambaugh RF, Yuan Y (2018) Absolving beta of volatility’s effects. J. Financial Econom. 128:1–15.Crossref, Google Scholar
• Lou D (2012) A flow-based explanation for return predictability. Rev. Financ. Stud. 25:3457–3489.Crossref, Google Scholar
• Lou D, Polk C (2022) Comomentum: Inferring arbitrage activity from return correlations. Rev. Financ. Stud. 35:3272–3302.Crossref, Google Scholar
• Mehrling P (2005) Fischer Black and the Revolutionary Idea of Finance (John Wiley and Sons, Hoboken, NJ).Google Scholar
• Miller EM (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32:1151–1168.Crossref, Google Scholar
• Modigliani F, Miller MH (1958) The cost of capital, corporation finance, and the theory of investment. Amer. Econom. Rev. 48:655–669.Google Scholar
• Modigliani F, Cohn R (1979) Inflation, rational valuation, and the market. Financial Analysts J. 35:24–44.Crossref, Google Scholar
• Novy-Marx R, Velikov M (2022) Betting against betting against beta. J. Financial Econom. 143:80–106.Crossref, Google Scholar
• Pástor L, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111:642–685.Crossref, Google Scholar
• Sharpe W (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19:425–442.Google Scholar
• Shleifer A, Vishny RW (1997) The limits of arbitrage. J. Finance 52:35–55.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2015) Arbitrage asymmetry and the idiosyncratic volatility puzzle. J. Finance 70:1903–1948.Crossref, Google Scholar
• Stein J (2009) Sophisticated investors and market efficiency. J. Finance 64:1517–1548.Crossref, Google Scholar