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Speculative Betas
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DOI：10.1111/jofi.12431.png)
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Abstract
En 中文
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.
Keywords:
COMMON-STOCK INVESTMENT
HETEROGENEOUS EXPECTATIONS
MARKET EQUILIBRIUM
CROSS-SECTION
ASSET PRICES
RETURNS
RISK
ARBITRAGE
OVERCONFIDENCE
INVESTORS
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