AFA2019会议论文（22）：The Relation Between Expected Returns and Betas

AFA2019会议论文（22）：The Relation Between Expected Returns and Betas

金融经济学 前天

Asset Pricing Anomalies and the Low-risk Puzzle

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The Macroeconomic Announcement Premium

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Asset Pricing: A Tale of Night and Day

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1、Asset Pricing Anomalies and the Low-risk Puzzle

Ruomeng Liu，Rice University

Abstract

The original observation in Black, Jensen and Scholes (1972) that the security market line is too flat – the beta anomaly – is a driving force behind a number of well-documented cross-sectional asset pricing puzzles. I document that returns to a broad set of anomaly portfolios are negatively correlated with the contemporaneous market excess return. I show that this negative covariance implicitly embeds the beta anomaly in these cross-sectional return puzzles. Taking into account the exposure to the beta anomaly either attenuates or eliminates the economic and statistical significance of the risk-adjusted returns to a large set of asset pricing anomalies.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1249

2、The Macroeconomic Announcement Premium

Jessica Wachter，University of Pennsylvania

Yicheng Zhu，University of Pennsylvania

Abstract

Empirical studies demonstrate striking patterns in stock market returns in relation to scheduled macroeconomic announcements. First, a large proportion of the total equity premium is realized on days with macroeconomic announcements, despite the small number of such days. Second, the relation between market betas and expected returns is far stronger on announcement days as compared with non-announcement days. Third, risk as measured by volatilities and betas is equal on both types of days. We present a model with rare events that jointly explains these phenomena. In our model, which is solved in closed form, agents learn about a latent disaster probability from scheduled announcements. We quantitatively account for the empirical findings, along with other facts about the market portfolio.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1323

3、Asset Pricing: A Tale of Night and Day

Terrence Hendershott，University of California, Berkeley

Dmitry Livdan，University of California, Berkeley

Dominik Roesch，University at Buffalo

Abstract

Stock prices behave very differently with respect to their sensitivity to market risk (beta) when markets are open for trading versus when they are closed. The capital asset pricing model (CAPM) performs poorly overall as beta is weakly related to 24-hour returns. This is driven entirely by trading-day returns, i.e., open-to-close returns are negatively related to beta in the cross section. The CAPM holds overnight when the market is closed. The CAPM holds overnight for the U.S. and internationally for: beta-sorted portfolios, 10 industry and 25 book-to-market portfolios, cash-flow and discount-rate beta-sorted portfolios, and individual stocks. These results are consistent with transitory beta-related price effects at the open and the close.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1815

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