| Beta Anomaly refers to the fact that the returns of high-beta stocks are lower than that of low-beta stocks.This is contrary to the theoretical basis of matching returns and risks in traditional financial theory,so it has attracted wide attention from scholars.So we try to explore the existence and causes of the Beta Anomaly in China’s A-share market.First,the existence of the beta anomaly in my country is verified by means of univariate grouping and construction of BAB(Betting Against Beta)factors.Secondly,the beta is broken down into two section.A correlation coefficient that reflects only systemic risk and the volatility that reflects the risk of individual stocks.The bivariate grouping and the construction of BAC(Betting Against Correlation)and BAV(Betting Against Volatility)factors are used to verify the source of beta anomaly,the research results indicate that the beta anomaly is mainly derived from the volatility anomaly,and there is no correlation coefficient anomaly in the A-share market.Then it explores the causes of Beta anomaly from two aspects:leverage constraints and investor irrational behavior.Through bivariate grouping,construction of low-risk factors,and FamaMacBeth cross-sectional regression,it is found that leverage constraints cannot explain the beta anomaly in my country’s A-share market;investors’ lottery preferences can explain part of the beta anomaly,but when We remove the volatility characteristics of the individual stock lottery characteristics,and only retain its right-biased characteristics,the explanatory power disappears;investor overconfidence can well explain the beta anomaly.In order to study in more detail how overconfidence of investors leads to the beta anomaly,this article divides the market into bullish and bearish markets.In a bull market,investors are more likely to be overconfident.They attribute the rise in market returns to their understanding of Private Information:Making bad investment decisions results in poor valuation of stocks in the market,resulting in a beta anomaly.In a bear market,investors have a low degree of overconfidence,so there is no beta anomaly.Finally,the robustness of the conclusion of the article is tested by changing the way of construction of the low risk factor、changing the way of mearsuring overconfident、adjusting the estimation window of the correlation coefficient and the comparative analysis of Shanghai and Shenzhen stock markets.The results indicate that the conclusion of this article has a strong robustness. |
