Economic Uncertainty and the Beta Anomaly

The authors thank Lin William Cong (Editor), an anonymous Associate Editor, three anonymous referees, Yong Chen, Thomas Dangl, Andrew L. Detzel, Zhe Geng, Michael Goldstein, Xiaolin Huo, Alan Huang, Frank Weikai Li, Jianfeng Yu, Tong Yu, Xintong Zhan, Qi Zhang, and conference and seminar participants at the University of Oklahoma, University of Oregon, Shanghai Jiao Tong University, Shanghai Financial Forefront Symposium 2022, China International Conference in Finance 2022, and China International Risk Forum 2022 for helpful comments. The authors also thank Charles Cao, Yong Chen, and Bing Liang for generously sharing with us a comprehensive list of 13F-filing hedge fund managers that they manually identified.