CEMA研讨会2018年秋季第十六讲将于1月3日（周四）中午12:10-1:30在712会议室举行，由新西兰奥塔哥大学商学院韩兴助理教授报告论文“Betting Against Beta versus Betting Against Correlation: What Is the Difference?”，欢迎感兴趣的师生参加。
【Titile】: Betting Against Beta versus Betting Against Correlation: What Is the Difference?
【Abstract】: We provide a decomposition framework to understand the difference between the betting against beta (BAB) strategy and the betting against correlation (BAC) strategy. The superior performance of BAB is driven by the market timing component, while the outperformance of BAC stems mainly from the cross-sectional components. However, contrary to the reasoning of a low-risk anomaly, low-correlation stocks are of small and illiquid firms with high volatility. Moreover, the BAC factor is fully subsumed by its betting against size (BAS) counterpart at each volatility quintile, signalling a size story. Therefore, BAC represents more of a high-risk investment strategy that is consistent with the implications of the funding liquidity theory. We then reconcile the seemingly contradictory fact that BAC is immune from investor sentiment while the low-correlation effect is a size story. Finally, we explore the portfolio implications of the decomposed market timing component.
【报告人简介】: 韩兴，新西兰奥塔哥大学商学院助理教授，注册金融分析师。2015年毕业于比利时根特大学，获经济学博士学位；研究领域为资产定价，行为金融和市场微观结构等，并在Journal of Empirical Finance, Energy Economics等期刊上发表论文。