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CCER讨论稿：Heterogeneous Beliefs and the Beta Anomaly in the Chinese A-share Stock Market

发布日期：2018-10-08 02:45    来源：北京大学国家发展研究院

No.E2018021                                                  2018-10-08

Shu Chen, Zhuo Huang, and Zhimin Qiu[1]

 

ABSTRACT

The beta anomaly indicates that high-beta stocks earn low future excess returns. We first prove the existence of the beta anomaly in the Chinese A-share stock market and then explain this anomaly based on short-sale constraints and aggregate disagreement. We provide a new proxy for aggregate disagreement based on analysts’ earnings forecasts and find that the beta anomaly does not exists in stocks with no short-sale constraints and periods with low aggregate disagreement. Furthermore, the higher level of aggregate disagreement is associated with a more concave Security Market Line and a more significant beta anomaly.

Keywords: Beta anomaly; Heterogeneous beliefs; Disagreement; Analyst forecast; short-sale constraints.

JEL Classification Number: G11, G12.

讨论稿全文下载： E2018021

[1] Shu Chen is PhD student at National School of Development, Peking University, Beijing, China. E-mail: shushu@pku.edu.cn. Zhuo Huang is Associate Professor in Economics at the National School of Development, Peking University, Beijing, China. E-mail: zhuohuang@nsd.pku.edu.cn. Zhimin Qiu (corresponding author) is PhD student at National School of Development, Peking University, Beijing, China. E-mail: qiuzhimin94@126.com. This research is supported by National Natural Science Foundation of China (71671004, 71871060).


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