<var id="oundm"></var><nobr id="oundm"></nobr><menu id="oundm"></menu>

    <meter id="oundm"><xmp id="oundm"></xmp></meter>

    <meter id="oundm"><menuitem id="oundm"></menuitem></meter>
    <blockquote id="oundm"><ruby id="oundm"><rp id="oundm"></rp></ruby></blockquote><code id="oundm"></code>

        <acronym id="oundm"></acronym>

        您现在的位置 首页 校园信息 报告讲座

        1月3日CEMA研讨会2018秋季第十六讲 Betting Against Beta versus Betting Against Correlation: What Is the Difference?

        [发表时间]2019-01-02 [来源]中国经济与管理研究院 [浏?#26469;?#25968;]

        论文题目Betting Against Beta versus Betting Against Correlation: What Is the Difference?

        报告人韩兴新西兰奥塔哥大学商学院助理教授

        论文摘要We provide a decomposition framework to understand the difference between the betting against beta (BAB) strategy and the betting against correlation (BAC) strategy. The superior performance of BAB is driven by the market timing component, while the outperformance of BAC stems mainly from the cross-sectional components. However, contrary to the reasoning of a low-risk anomaly, low-correlation stocks are of small and illiquid firms with high volatility. Moreover, the BAC factor is fully subsumed by its betting against size (BAS) counterpart at each volatility quintile, signalling a size story. Therefore, BAC represents more of a high-risk investment strategy that is consistent with the implications of the funding liquidity theory. We then reconcile the seemingly contradictory fact that BAC is immune from investor sentiment while the low-correlation effect is a size story. Finally, we explore the portfolio implications of the decomposed market timing component.

        时间1月3日周四中午12:10-13:30

        地点学院南路校区学术会堂712

        报告人简介韩兴新西兰奥塔哥大学商学院助理教授注册金融分析师2015年毕业于比利时根特大学获经济学博士学位研究领域为资产定价行为金融和市场微观结构等并在Journal of Empirical Finance, Energy Economics等期刊上发表论文

        主办中国经济与管理研究院


        [编辑]张萌

        11ѡ5ʽ
        <var id="oundm"></var><nobr id="oundm"></nobr><menu id="oundm"></menu>

        <meter id="oundm"><xmp id="oundm"></xmp></meter>

        <meter id="oundm"><menuitem id="oundm"></menuitem></meter>
        <blockquote id="oundm"><ruby id="oundm"><rp id="oundm"></rp></ruby></blockquote><code id="oundm"></code>

            <acronym id="oundm"></acronym>
            <var id="oundm"></var><nobr id="oundm"></nobr><menu id="oundm"></menu>

            <meter id="oundm"><xmp id="oundm"></xmp></meter>

            <meter id="oundm"><menuitem id="oundm"></menuitem></meter>
            <blockquote id="oundm"><ruby id="oundm"><rp id="oundm"></rp></ruby></blockquote><code id="oundm"></code>

                <acronym id="oundm"></acronym>