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Speculative Betas
The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high-beta assets are prone to speculative overpricing. When investors disagree about the stock market's prospects, high-beta assets are more sensitive to this aggregate disagreement, experience greater divergence of opinion about their payoffs, and are overpriced due to short-sales constraints. When aggregate disagreement is low, the Security Market Line is upward-sloping due to risk-sharing. When it is high, expected returns can actually decrease with beta. We confirm our theory using a measure of disagreement about stock market earnings.
Call Number | Location | Available |
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The Journal of Finance | PSB lt.dasar - Pascasarjana | 1 |
Penerbit | ., |
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Edisi | Vol. 71, Number 5, Oct. 2016 |
Subjek | - |
ISBN/ISSN | 00221082 |
Klasifikasi | NONE |
Deskripsi Fisik | - |
Info Detail Spesifik | The Journal of Finance |
Other Version/Related | Tidak tersedia versi lain |
Lampiran Berkas | Tidak Ada Data |