Academic Journal
Economic Uncertainty and the Beta Anomaly.
| 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] |
| Copyright of Management Science (INFORMS) is the property of INFORMS: Institute for Operations Research & the Management Sciences and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Βάση Δεδομένων: | Business Source Index |
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| Items | – Name: Title Label: Title Group: Ti Data: Economic Uncertainty and the Beta Anomaly. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Cao%2C+Zhiqi%22">Cao, Zhiqi</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> caozq19@alumni.sjtu.edu.cn</i><br /><searchLink fieldCode="AR" term="%22Wu%2C+Wenfeng%22">Wu, Wenfeng</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> wfwu@sjtu.edu.cn</i><br /><searchLink fieldCode="AR" term="%22Wu%2C+Youchang%22">Wu, Youchang</searchLink><relatesTo>2</relatesTo> (AUTHOR)<i> ywu2@uoregon.edu</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Management+Science+%28INFORMS%29%22">Management Science (INFORMS)</searchLink>. Sep2026, Vol. 72 Issue 9, p7631-7659. 29p. – Name: Subject Label: Subject Terms Group: Su Data: *<searchLink fieldCode="DE" term="%22Borrowing+capacity%22">Borrowing capacity</searchLink><br />*<searchLink fieldCode="DE" term="%22Valuation+of+corporations%22">Valuation of corporations</searchLink><br />*<searchLink fieldCode="DE" term="%22Risk+aversion%22">Risk aversion</searchLink><br />*<searchLink fieldCode="DE" term="%22Mutual+funds%22">Mutual funds</searchLink><br />*<searchLink fieldCode="DE" term="%22Stock+funds%22">Stock funds</searchLink><br />*<searchLink fieldCode="DE" term="%22Financial+markets%22">Financial markets</searchLink><br /><searchLink fieldCode="DE" term="%22Economic+uncertainty%22">Economic uncertainty</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: 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] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Management Science (INFORMS) is the property of INFORMS: Institute for Operations Research & the Management Sciences and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1287/mnsc.2024.04372 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 29 StartPage: 7631 Subjects: – SubjectFull: Borrowing capacity Type: general – SubjectFull: Valuation of corporations Type: general – SubjectFull: Risk aversion Type: general – SubjectFull: Mutual funds Type: general – SubjectFull: Stock funds Type: general – SubjectFull: Financial markets Type: general – SubjectFull: Economic uncertainty Type: general Titles: – TitleFull: Economic Uncertainty and the Beta Anomaly. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Cao, Zhiqi – PersonEntity: Name: NameFull: Wu, Wenfeng – PersonEntity: Name: NameFull: Wu, Youchang IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 09 Text: Sep2026 Type: published Y: 2026 Identifiers: – Type: issn-print Value: 00251909 Numbering: – Type: volume Value: 72 – Type: issue Value: 9 Titles: – TitleFull: Management Science (INFORMS) Type: main |
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