| Contrary to the traditional financial pricing theory represented by the Capital Asset Pricing Model(CAPM)model,the phenomenon that there is no significant positive relationship between asset risk and return in various empirical studies is called the beta anomaly by the academic community.This study combed and summarized the domestic and foreign literature on the existence and causes of beta anomalies,and found that most of the studies on beta anomalies were based on the transaction data of foreign mature capital markets,while insufficient attention was paid to the existence of beta anomalies in emerging markets.Therefore,it is necessary to carry out research on beta anomalies in emerging markets.In addition,on the research of behavioral financial factors,the current research of domestic scholars focuses on the following two directions: one is to study the relationship between behavioral financial factors,such as consensus divergence,and stock returns;the other is to study the relationship between risk and return under different characteristics of behavioral factor variables.Therefore,there are still many research gaps in the direction of exploring the relationship between behavioral factors and Betting Against Beta factors(BAB).Taking Chinese stock market,the largest emerging market in the world,as an example,based on the existing literature,this study investigated the existence and causes of beta anomalies in Chinese stock market from various aspects,providing data support for developing countries to study beta anomalies.The research contents of this paper are as follows:(1)Through the univariate grouping method,based on the beta value of individual stock,this paper investigates the performance of the portfolio at different beta value levels in the future yield,and preliminarily tests whether there is beta anomaly in the Chinese stock market.(2)According to the method of Frazzini and Pedersen(2014),the BAB strategy was constructed,and a beta neutral portfolio was constructed every month in the sample period.Then,it was tested whether the strategy could obtain significant positive excess returns in the Chinese market,and a series of robustness tests were conducted.(3)From the perspective of behavioral finance,from the perspectives of lottery preference and divergence of investors’ opinions,the reasons for the existence of beta anomalies are explored through bivariate grouping method and Fama Macbeth regression method.(4)We have constructed the divergence factor of investors in the whole market and added it to the CAPM model,Fama French three factor model and Fama French five factor model to examine whether the excess return of BAB strategy that could not be explained by the basic regression models is still significant,aiming to further verify the robustness of related behavioral factors in explaining beta anomalies.The conclusions of this paper are as follows:(1)In the preliminary test of beta anomalies based on the univariate grouping method,it is concluded that there are beta anomalies in the Chinese market.(2)After constructing the BAB strategy,it is found that the strategy can obtain significant positive excess returns in Chinese stock market,and a series of robustness tests have confirmed this conclusion,indicating that the actual financial market is not as effective as the theoretical hypothesis.(3)When interpreting beta anomalies from the perspective of behavioral finance,the bivariate grouping method and Fama Macbeth regression method both indicate that lottery preference cannot explain beta anomalies in Chinese market,while divergent investor opinions can explain beta anomalies.(4)By introducing the divergence factor of investors’ opinions in the whole market into each basic regression model,it is found that the abnormal returns of the original significant BAB strategy are no longer significantly different from zero.This conclusion further confirms that the divergence of investors’ opinions can better explain the beta anomalies in Chinese stock market.From the perspective of the theoretical significance of this study,taking Chinese stock market as an example,the study of beta anomalies proves that beta anomalies not only exist in foreign mature markets,but also exist in Chinese stock market,which to some extent makes up for the research gap of whether there is beta anomalies in emerging markets,and provides data support for the phenomenon of beta anomalies in developing countries.Secondly,a large number of scholars have different views on the causes of beta anomalies.At present,they have not reached a consistent conclusion on the causes of beta anomalies.This study,based on the characteristics of Chinese stock market and from the perspective of behavioral finance,explores the causes of beta anomalies in Chinese market based on lottery preferences or the divergence of investors’ opinions.To some extent,it makes up the research gap of explaining beta anomalies from the perspective of behavioral finance.Finally,domestic research on behavioral finance variables mainly focuses on the relationship between risk and return under different variable characteristics.This study introduces it into the study of beta anomalies,which broadens the research on specific variables of behavioral finance,and also expands the relevant research on the causes of beta anomalies.From the perspective of practical value of this study,first,the research conclusion further clarifies the relationship between risk and return in Chinese market,provides theoretical basis and suggestions for investors to optimize their investment structure and predict portfolio returns,and also provides guidance for enterprises to carry out risk management.Secondly,through the analysis of the causes of beta anomalies,it is clear that the divergence of investors’ opinions is the cause of biased stock pricing,which leads to the formation of beta anomalies,which also provides target guidance for the long-term stable development of Chinese securities market. |
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