Journal of Empirical Finance · VOLUME 43 · September 2017

低波动率的盈利性

作者：David Blitz (Robeco Asset Management), Milan Vidojevic (Robeco Asset Management ; Vrije Universiteit Amsterdam; Columbia University, Columbia Business School)

摘要：低波动率的股票会取得比现有资产定价模型预测更高的收益，这个异象看似可以被加入了盈利性因子的新Fama-French五因子模型所解释，但是作者认为在缺乏风险与回报正向关系的实证依据的情况下，得出这样的结论是不成熟的。本文发现，不论是否控制五因子模型中的新因子，在横截面维度对于市场beta的风险暴露并不能得到正的风险溢价。同时作者也发现了波动率的定价误差比beta的定价误差更大，这说明了低波动率异象才是最主要的现象。最后作者得出了低波动率的异象并不能被五因子模型所解释的结论。

关键词：低波动率、低beta、盈利性、beta对赌

The profitability of low-volatility

David Blitz (Robeco Asset Management), Milan Vidojevic (Robeco Asset Management ; Vrije Universiteit Amsterdam; Columbia University, Columbia Business School)

ABSTRACT

Low-risk stocks exhibit higher returns than predicted by established asset pricing models, but this anomaly seems to be explained by the new Fama-French five-factor model, which includes a profitability factor. We argue that this conclusion is premature given the lack of empirical evidence for a positive relation between risk and return. We find that exposure to market beta in the cross-section is not rewarded with a positive premium, regardless of whether we control for the new factors in the five-factor model. We also observe stronger mispricing for volatility than for beta, which suggests that the low-volatility anomaly is the dominant phenomenon. We conclude that the low-risk anomaly is not explained by the five-factor model.

Keywords: Low volatility; Low beta; Profitability; Betting against beta

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300476

翻译：殷曼琳