【本期主题】The Booms and Busts of Beta Arbitrage

Low-beta stocks deliver high average returns and low risk relative to high-beta stocks, an opportunity for professional investors to “arbitrage” away. We argue that beta-arbitrage activity instead generates booms and busts in the strategy’s abnormal trading profits. In times of low activity, the beta-arbitrage strategy exhibits delayed correction, taking up to three years for abnormal returns to be realized. In stark contrast, when activity is high, prices overshoot as short-run abnormal returns are much larger and then revert in the long run. We document a novel positive-feedback channel operating through firm-level leverage that facilitates these boom and bust cycles.

【报告人】   Dong Lou   伦敦政治经济学院副教授

【时   间】03月25日 上午10:00

【地   点】明德主楼0509室

报告人简介：

Professor Dong Lou is an Associate Professor in Finance at London School of Economics. He received his PH.D. degree in Finance from Yale University in 2009. He currently serves as the Associate Editor at Management Science and Journal of Empirical Finance. His research papers have been published on top finance journals, including Review of Financial Studies and Journal of Financial Economics. His research interests include empirical asset pricing, behavioral finance and mutual funds.

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