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Beta uncertainty
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DOI：10.1016/j.jbankfin.2020.105834.png)
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Abstract
En 中文
A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both economically and statistically significantly priced in the cross-section of stock returns. Stocks with high beta uncertainty substantially underperform those with low beta uncertainty: a two-standard-deviation increase in the measure decreases average annual returns by 9.7%. These results cannot be explained by previously discovered determinants of cross-sectional stock returns. Aggregate beta uncertainty negatively predicts market excess returns in the short and medium term. We find supporting evidence for a mispricing explanation of the beta uncertainty premium. (C) 2020 Elsevier B.V. All rights reserved.
Keywords:
Beta
CAPM
Disagreement
Ambiguity
Parameter uncertainty
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