Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Economic Uncertainty and the Beta Anomaly. |
| Συγγραφείς: |
Cao, Zhiqi1 (AUTHOR) caozq19@alumni.sjtu.edu.cn, Wu, Wenfeng1 (AUTHOR) wfwu@sjtu.edu.cn, Wu, Youchang2 (AUTHOR) ywu2@uoregon.edu |
| Πηγή: |
Management Science (INFORMS). Sep2026, Vol. 72 Issue 9, p7631-7659. 29p. |
| Θεματικοί όροι: |
*Borrowing capacity, *Valuation of corporations, *Risk aversion, *Mutual funds, *Stock funds, *Financial markets, Economic uncertainty |
| Περίληψη: |
Using various measures of economic uncertainty, we find that the beta-alpha anomaly exists only during periods of low economic uncertainty. We argue that diminished risk appetite during high economic uncertainty eases leverage constraints of typical long-only investors, making overvaluation of high-beta stocks and undervaluation of low-beta stocks less likely. Differences in uncertainty-related beta trading activities between mutual fund investors/managers and hedge funds support this explanation. Variation of the beta anomaly within the low-uncertainty state further corroborates it: the anomaly is significant (insignificant) in stocks heavily held by actively managed mutual funds (hedge funds), and it is concentrated in the subperiods in which leverage constraints for long-only investors are likely to be more severe. This paper was accepted by Lin William Cong, finance. Funding: Z. Cao and W. Wu acknowledge financial support from the National Natural Science Foundation of China [Grants 72495153 and 72310107002]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.04372. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
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