Economic Uncertainty and the Beta Anomaly

References

• Andersen TG (1996) Return volatility and trading volume: An information flow interpretation of stochastic volatility. J. Finance 51(1):169–204.Crossref, Google Scholar
• Ang A (2014) Asset Management: A Systematic Approach to Factor Investing (Oxford University Press, New York).Crossref, Google Scholar
• Ang A, Hodrick RJ, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
• Antoniou C, Doukas JA, Subrahmanyam A (2015) Investor sentiment, beta, and the cost of equity capital. Management Sci. 62(1):347–367.Google Scholar
• Asness CS, Frazzini A, Pedersen LH (2012) Leverage aversion and risk parity. Financial Analysts J. 68(1):47–59.Crossref, Google Scholar
• Baker M, Stein JC (2004) Market liquidity as a sentiment indicator. J. Financial Markets 7(3):271–299.Crossref, Google Scholar
• Baker M, Wurgler J (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
• Baker SR, Bloom N, Davis SJ (2016) Measuring economic policy uncertainty. Quart. J. Econom. 131(4):1593–1636.Crossref, Google Scholar
• Baker M, Bradley B, Wurgler J (2011) Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts J. 67(1):40–54.Crossref, Google Scholar
• Bali TG, Brown SJ, Caglayan MO (2014) Macroeconomic risk and hedge fund returns. J. Financial Econom. 114(1):1–19.Crossref, Google Scholar
• Bali TG, Brown SJ, Tang Y (2017) Is economic uncertainty priced in the cross-section of stock returns? J. Financial Econom. 126(3):471–489.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(6):2369–2397.Crossref, Google Scholar
• Barber BM, Huang X, Odean T (2016) Which factors matter to investors? Evidence from mutual fund flows. Rev. Financial Stud. 29(10):2600–2642.Crossref, Google Scholar
• Barroso P, Detzel AL, Maio PF (2025) The volatility puzzle of the low-risk anomaly. J. Financial Econom. 165:103994.Google Scholar
• Bauer MD, Swanson ET (2023) A reassessment of monetary policy surprises and high-frequency identification. NBER Macroeconom. Annual 37:87–155.Crossref, Google Scholar
• Bekaert G, Engstrom EC, Xu NR (2022) The time variation in risk appetite and uncertainty. Management Sci. 68(6):3975–4004.Link, Google Scholar
• Berk JB, van Binsbergen JH (2016) Assessing asset pricing models using revealed preference. J. Financial Econom. 119(1):1–23.Crossref, Google Scholar
• Birru J, Young T (2022) Sentiment and uncertainty. J. Financial Econom. 146(3):1148–1169.Crossref, Google Scholar
• Black F (1972) Capital market equilibrium with restricted borrowing. J. Bus. 45(3):444–455.Crossref, Google Scholar
• Black F, Jensen M, 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
• Campbell JY, Cochrane J (1999) Force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
• Cao C, Chen Y, Goetzmann WN, Liang B (2018) Hedge funds and stock price formation. Financial Analysts J. 74(3):54–68.Crossref, Google Scholar
• Cao C, Chen Y, Liang B, Lo AW (2013) Can hedge funds time market liquidity? J. Financial Econom. 109(2):493–516.Crossref, Google Scholar
• Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
• Cederburg S, O’Doherty MS (2016) Does it pay to bet against beta? On the conditional performance of the beta anomaly. J. Finance 71(2):737–774.Crossref, Google Scholar
• Chen Y, Liang B (2007) Do market timing hedge funds time the market? J. Financial Quant. Anal. 42(4):827–856.Crossref, Google Scholar
• Chen Z, Lu A (2018) A market-based funding liquidity measure. Rev. Asset Pricing Stud. 9(2):356–393.Crossref, Google Scholar
• Chen Y, Da Z, Huang D (2018) Arbitrage trading: The long and the short of it. Rev. Financial Stud. 32(4):1608–1646.Crossref, Google Scholar
• Chen Y, Da Z, Huang D (2022) Short selling efficiency. J. Financial Econom. 145(2):387–408.Crossref, Google Scholar
• Christoffersen SEK, Simutin M (2017) On the demand for high-beta stocks: Evidence from mutual funds. Rev. Financial Stud. 30(8):2596–2620.Crossref, Google Scholar
• Cohn A, Engelmann J, Fehr E, Maréchal MA (2015) Evidence for countercyclical risk aversion: An experiment with financial professionals. Amer. Econom. Rev. 105(2):860–885.Crossref, Google Scholar
• Curley SP, Yates JF, Abrams RA (1986) Psychological sources of ambiguity avoidance. Organ. Behav. Human Decision Processes 38(2):230–256.Crossref, Google Scholar
• Dimmock SG, Kouwenberg R, Mitchell OS, Peijnenburg K (2016) Ambiguity aversion and household portfolio choice puzzles: Empirical evidence. J. Financial Econom. 119(3):559–577.Crossref, Google Scholar
• Dimson E (1979) Risk measurement when shares are subject to infrequent trading. J. Financial Econom. 7(2):197–226.Crossref, Google Scholar
• Doshi H, Elkamhi R, Simutin M (2015) Managerial activeness and mutual fund performance. Rev. Asset Pricing Stud. 5(2):156–184.Crossref, Google Scholar
• Dow J, Werlang SRDC (1992) Uncertainty aversion, risk aversion, and the optimal choice of portfolio. Econometrica 60(1):197–204.Crossref, Google Scholar
• Ellsberg D (1961) Risk, ambiguity, and the savage axioms. Quart. J. Econom. 75(4):643–669.Crossref, Google Scholar
• Epstein LG, Wang T (1994) Intertemporal asset pricing under Knightian uncertainty. Econometrica 62(2):283–322.Crossref, Google Scholar
• Fama EF, French KR (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
• Fama EF, French KR (1993) Common risk factors in returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
• Fama EF, French KR (2006) The value premium and the CAPM. J. Finance 61(5):2163–2185.Crossref, Google Scholar
• Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
• Farmer LE, Schmidt L, Timmermann A (2023) Pockets of predictability. J. Finance 78(3):1279–1341.Crossref, Google Scholar
• Frazzini A, Pedersen LH (2014) Betting against beta. J. Financial Econom. 111(1):1–25.Crossref, Google Scholar
• Fung W, Hsieh DA (2001) The risk in hedge fund strategies: Theory and evidence from trend followers. Rev. Financial Stud. 14(2):313–341.Crossref, Google Scholar
• Gârleanu N, Pedersen LH (2011) Margin-based asset pricing and deviations from the law of one price. Rev. Financial Stud. 24(6):1980–2022.Crossref, Google Scholar
• Gilboa I, Schmeidler D (1989) Maxmin expected utility with non-unique prior. J. Math. Econom. 18(2):141–153.Crossref, Google Scholar
• Guiso L, Sapienza P, Zingales L (2018) Time varying risk aversion. J. Financial Econom. 128(3):403–421.Crossref, Google Scholar
• Hong H, Sraer DA (2016) Speculative betas. J. Finance 71(5):2095–2144.Crossref, Google Scholar
• Ilut CL, Schneider M (2023) Ambiguity. Bachmann R, Topa G, van der Klaauw W, eds. Handbook of Economic Expectations (Academic Press, New York), 749–777.Google Scholar
• Jurado K, Ludvigson SC, Ng S (2015) Measuring uncertainty. Amer. Econom. Rev. 105(3):1177–1216.Crossref, Google Scholar
• Jylha P (2018) Margin requirements and the security market line. J. Finance 73(3):1281–1321.Crossref, Google Scholar
• Knight FH (1921) Risk, Uncertainty and Profit, vol. 31 (Houghton Mifflin, Boston).Google Scholar
• Koijen RSJ, Yogo M (2019) A demand system approach to asset pricing. J. Political Econom. 127(4):1475–1515.Crossref, Google Scholar
• Lewellen J, Nagel S (2006) The conditional CAPM does not explain asset-pricing anomalies. J. Financial Econom. 82(2):289–314.Crossref, Google Scholar
• Liu J, Stambaugh RF, Yuan Y (2018) Absolving beta of volatility’s effects. J. Financial Econom. 128(1):1–15.Crossref, Google Scholar
• Lo AW (2017) Adaptive Markets: Financial Evolution at the Speed of Thought (Princeton University Press, Princeton, NJ).Google Scholar
• Miranda-Agrippino S, Rey H (2020) U.S. monetary policy and the global financial cycle. Rev. Econom. Stud. 87(6):2754–2776.Crossref, Google Scholar
• Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–708.Google Scholar
• Pastor L, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
• Rossi B, Sekhposyan T (2015) Macroeconomic uncertainty indices based on nowcast and forecast error distributions. Amer. Econom. Rev. 105(5):650–655.Crossref, Google Scholar
• Savor P, Wilson M (2014) Asset pricing: A tale of two days. J. Financial Econom. 113(2):171–201.Crossref, Google Scholar
• Schneider P, Wagner C, Zechner J (2020) Low-risk anomalies? J. Finance 75(5):2673–2718.Crossref, Google Scholar
• Shen J, Yu J, Zhao S (2017) Investor sentiment and economic forces. J. Monetary Econom. 86:1–21.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2015) Arbitrage asymmetry and the idiosyncratic volatility puzzle. J. Finance 70(5):1903–1948.Crossref, Google Scholar
• Trautmann S, Vieider FM, Wakker PP (2008) Causes of ambiguity aversion: Known versus unknown preferences. J. Risk Uncertainty 36:225–243.Crossref, Google Scholar
• Uppal R, Wang T (2003) Model misspecification and underdiversification. J. Finance 58(6):2465–2486.Crossref, Google Scholar
• Vasicek OA (1973) A note on using cross-sectional information in Bayesian estimation of security betas. J. Finance 28(5):1233–1239.Crossref, Google Scholar