Speculative betas

• Autores: Harrison Hong, David A. Sraer
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 71, Nº 5, 2016, págs. 2095-2144
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • 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.