Betting againstbeta
金融世界 第十五讲_英语题库
金融世界第十五讲_英语题库上一讲中我们为您介绍了floating exchange rates和fixed exchange rates，浮动汇率与固定汇率。
澳广金融节目主持人巴里克拉克介绍说，二十世纪的固定汇率制不仅未能保持汇率的稳定，而且还为投机者提供了机会。
但是实行浮动汇率制也同样有它的不利之处。
不断变化的汇率为工商业的运作带来许多不确定因素。
不过，澳洲广播电台金融节目主持人巴里克拉克继续介绍说，各国的中央银行或储备银行大都会在关键时刻对市场进行干预，以减缓货币汇率的剧烈动荡。
巴里克拉克在他的讲话中提到了这样一些词汇：1Reserve Bank储备银行2cushion缓冲垫，减震器3intervene干预4contention辩论5on balance总的来说6overshooting过火，过激下面我们听一遍巴里克拉克的谈话及中文翻译：The Reserve Bank tries to play a role in providing a comfort cushion by intervening from time to time in the foreign exchange market with a view to limiting its more extreme fluctuations.Whether the central bank should be doing this,and whether it actually can influence exchange rates in the face of market forces,are matters of some contention.From its own analysis,the Reserve Bank is persuaded that,on balance,it plays a useful role in limiting overshooting in the market.巴里克拉克说，储备银行试图在减缓市场冲击力方面发挥作用，对外汇市场不时进行干预，目的是要限制它更剧烈的动荡。
左尾风险的动量效应：基于A股市场数据的研究
左尾风险的动量效应：基于A股市场数据的研究作者：费晓晖赵永亮来源：《经济研究导刊》2021年第29期摘要：通过研究A股市场回报的截面数据，发现左尾风险与下一阶回报存在高度负相关。
因此，通过Yigit Atilgan等人（2020）的左尾风险的动量理论来解释这一现象：落在回左尾风险高的股票预期回报低，原因在于投资者低估了左尾风险的持续度，进而过高估值了那些近期大幅下跌的股票。
通过研究不仅发现中国股票市场存在这种左尾动量异象，同时还发现该异象无法用当前占据主导地位的定价因子解释，而行为金融学中投资者反应不足的理论对该异象具有很强的解释力。
关键词：左尾风险;动量效应;反应不足中图分类号：F832.51 文献标志码：A 文章编号：1673-291X（2021）29-0105-03引言自从Sharpe（1964）、Lintner（1965）和Mossin（1966）提出资本资产定价（CAPM）理论后，学术界关于有效市场理论以及异象因子的争论始终不断。
本文研究的左尾风险是金融风险领域的核心概念，也是众多异象之一。
关于左尾风险著名的研究有，Markowitz（1959）通过半方差来研究回报风险;①Arzac 等人（1977）和Bawa等人（1977）分别把下偏动量作为风险因子引入到定价模型，对于该分支领域的实证研究提供了开创性的突破;随后Kahneman和Tversky（1979）提出的前景理论则试图从理论部分对于该异象做出解释。
投资者行为不单基于效用函数，其风险偏好会随绝对收益（Absolute return）的状况做出改变，其损失情况下的行为有悖有效市场假说的理性人假设，上面阐述的左尾现象便是其结果之一。
关于左尾风险的近期研究有，Ang，Chen和Xing （2006），Kelly和Jiang（2014），Bal 等人（2014）和Van Oordt等人（2016）关注于左尾市场风险（左尾beta）;Chabi-Yo等人（2017），Lee和Yang（2017）则通过极端事件来检测个股在市场剧烈下跌后的反应;Yigit Atilgana等人（2020）提出在险价值（VaR）和预期损失（ES）作为代理变量来度量左尾风险的概率分布和程度的可行性。
Buffet's alpha
NBER WORKING PAPER SERIESBUFFETT’S ALPHAAndrea FrazziniDavid KabillerLasse H. PedersenWorking Paper 19681/papers/w19681NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138November 2013Lasse H. Pedersen is the corresponding author. The authors are affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. We thank Cliff Asness, Aaron Brown, John Howard, Ronen Israel, Sarah Jiang and Scott Richardson for helpful comments and discussions as well as seminar participants at the Kellogg School of Management, the CFA Society of Denmark, Vienna University of Economics and Business, Goethe University Frankfurt, and at AQR Capital Management. We are grateful to Nigel Dally for providing us with historical 10-K filings. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.At least one co-author has disclosed a financial relationship of potential relevance for this research. Further information is available online at /papers/w19681.ackNBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.© 2013 by Andrea Frazzini, David Kabiller, and Lasse H. Pedersen. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.Buffett’s AlphaAndrea Frazzini, David Kabiller, and Lasse H. PedersenNBER Working Paper No. 19681November 2013JEL No. G11,G12,G14,G22,G23ABSTRACTBerkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett’s leverage is about 1.6-to-1 on average. Buffett’s returns appear to be neither luck nor magic, but, rather, reward for the use of leverage combined with a focus on cheap, safe, quality stocks. Decomposing Berkshires’ portfolio into ownership in publicly traded stocks versus wholly-owned private companies, we find that the former performs the best, suggesting that Buffett’s returns are more due to stock selection than to his effect on management. These results have broad implications for market efficiency and the implementability of academic factors.Andrea FrazziniAQR Capital Management, LLC Two Greenwich Plaza, 3rd Floor Greenwich, CT 06830 andrea.frazzini@ David KabillerAQR Capital Management, LLC Two Greenwich Plaza, 3rd Floor Greenwich, CT 06830 David.Kabiller@ Lasse H. Pedersen Copenhagen Business School Solbjerg Plads 3, A5DK-2000 Frederiksberg DENMARKand NYUand also NBERlpederse@1.Introduction: Understanding the Oracle’s AlphaWhile much has been said and written about Warren Buffett and his investment style, there has been little rigorous empirical analysis that explains his performance. Every investor has a view on how Buffett has done it, but we seek the answer via a thorough empirical analysis in light of some the latest research on the drivers of returns.1 Buffett’s success has become the focal point of the debate on market efficiency that continues to be at the heart of financial economics. Efficient market academics suggest that his success may simply be luck, the happy winner of a coin-flipping contest as articulated by Michael Jensen at a famous 1984 conference at Columbia Business School celebrating the 50th anniversary of the book by Graham and Dodd (1934).2 Tests of this argument via a statistical analysis of the extremity of Buffett’s performance cannot fully resolve the issue. Instead, Buffett countered at the conference that it is no coincidence that many of the winners in the stock market come from the same intellectual village, “Graham-and-Doddsville” (Buffett (1984)). How can Buffett’s argument be tested? Ex post selecting successful investors who are informally classified to belong to Graham-and-Doddsville is subject to biases. We rigorously examine this argument using a different strategy. We show that Buffett’s performance can be largely explained by exposures to value, low-risk, and quality factors. This finding is consistent with the idea 1Based on the original insights of Black (1972) and Black, Jensen, and Scholes (1972), Frazzini and Pedersen (2013) show that leverage and margin requirements change equilibrium risk premia. They show that investors without binding leverage constraints can profit from Betting Against Beta (BAB), buyinglow-risk assets and shorting risky assets. Frazzini and Pedersen (2012) extend this finding to derivatives with embedded leverage, Asness, Frazzini, and Pedersen (2012a) to the risk-return relation across asset classes. Asness, Frazzini, and Pedersen (2013) consider fundamental measures of risk and other accountingbased measures of “quality,” i.e., characteristics that make a company more valuable.2 The book by Graham and Dodd (1934) is credited with laying the foundation for investing based on value and quality, and Graham and Dodd were Buffett’s professors at Columbia.that investors from Graham-and-Doddsville follow similar strategies to achieve similar results and inconsistent with stocks being chosen based on coin flips. Hence, Buffett’s success appears not to be luck. Rather, Buffett personalizes the success of value and quality investment, providing out-of-sample evidence on the ideas of Graham and Dodd (1934). The fact that both aspects of Graham and Dodd (1934) investing – value and quality – predict returns3 is consistent with their hypothesis of limited market efficiency. However, one might wonder whether such factor returns can be achieved by any real life investor after transaction costs and funding costs? The answer appears to be a clear “yes” based on Buffett’s performance and our decomposition of it.Buffett’s record is remarkable in many ways, but just how spectacular has the performance of Berkshire Hathaway been compared to other stocks or mutual funds? Looking at all U.S. stocks from 1926 to 2011 that have been traded for more than 30 years, we find that Berkshire Hathaway has the highest Sharpe ratio among all. Similarly, Buffett has a higher Sharpe ratio than all U.S. mutual funds that have been around for more than 30 years.So how large is this Sharpe ratio that has made Buffett one of the richest people in the world? We find that the Sharpe ratio of Berkshire Hathaway is 0.76 over the period 1976-2011. While nearly double the Sharpe ratio of the overall stock market, this is lower than many investors imagine. Adjusting for the market exposure, Buffett’s information3 Value stocks on average outperform growth stocks as documented by Stattman (1980), Rosenberg, Reid, and Lanstein (1985), and Fama and French (1992) and high-quality stocks outperform junk stocks on average as documented by Asness, Frazzini, and Pedersen (2013) and references therein.ratio4is even lower, 0.66. This Sharpe ratio reflects high average returns, but also significant risk and periods of losses and significant drawdowns.If his Sharpe ratio is very good but not super-human, then how did Buffett become among the richest in the world? The answer is that Buffett has boosted his returns by using leverage, and that he has stuck to a good strategy for a very long time period, surviving rough periods where others might have been forced into a fire sale or a career shift. We estimate that Buffett applies a leverage of about 1.6-to-1, boosting both his risk and excess return in that proportion. Thus, his many accomplishments include having the conviction, wherewithal, and skill to operate with leverage and significant risk over a number of decades.This leaves the key question: How does Buffett pick stocks to achieve this attractive return stream that can be leveraged? We identify several general features of his portfolio: He buys stocks that are “safe” (with low beta and low volatility), “cheap” (i.e., value stocks with low price-to-book ratios), and high-quality (meaning stocks that profitable, stable, growing, and with high payout ratios). This statistical finding is certainly consistent with Graham and Dodd (1934) and Buffett’s writings, e.g.: Whether we’re talking about socks or stocks, I like buying qualitymerchandise when it is marked down– Warren Buffett, Berkshire Hathaway Inc., Annual Report, 2008.4 The Information ratio is defined as the intercept in a regression of monthly excess returns divided by the standard deviation of the residuals. The explanatory variable in the regression is the monthly excess returns of the CRSP value-weighted market portfolio. Sharpe ratios and information ratios are annualized.Interestingly, stocks with these characteristics – low risk, cheap, and high quality – tend to perform well in general, not just the ones that Buffett buys. Hence, perhaps these characteristics can explain Buffett’s investment? Or, is his performance driven by an idiosyncratic Buffett skill that cannot be quantified?The standard academic factors that capture the market, size, value, and momentum premia cannot explain Buffett’s performance so his success has to date been a mystery (Martin and Puthenpurackal (2008)). Given Buffett’s tendency to buy stocks with low return risk and low fundamental risk, we further adjust his performance for the Betting-Against-Beta (BAB) factor of Frazzini and Pedersen (2013) and the Quality Minus Junk (QMJ) factor of Asness, Frazzini, and Pedersen (2013). We find that accounting for these factors explains a large part of Buffett's performance. In other words, accounting for the general tendency of high-quality, safe, and cheap stocks to outperform can explain much of Buffett’s performance and controlling for these factors makes Buffett’s alpha statistically insignificant.To illustrate this point in a different way, we create a portfolio that tracks Buffett’s market exposure and active stock-selection themes, leveraged to the same active risk as Berkshire. We find that this systematic Buffett-style portfolio performs comparably to Berkshire Hathaway. Buffett’s genius thus appears to be at least partly in recognizing early on, implicitly or explicitly, that these factors work, applying leverage without ever having to fire sale, and sticking to his principles. Perhaps this is what he means by his modest comment:Ben Graham taught me 45 years ago that in investing it is notnecessary to do extraordinary things to get extraordinary results– Warren Buffett, Berkshire Hathaway Inc., Annual Report, 1994.However, it cannot be emphasized enough that explaining Buffett’s performance with the benefit of hindsight does not diminish his outstanding accomplishment. He decided to invest based on these principles half a century ago. He found a way to apply leverage. Finally, he managed to stick to his principles and continue operating at high risk even after experiencing some ups and downs that have caused many other investors to rethink and retreat from their original strategies.Finally, we consider whether Buffett’s skill is due to his ability to buy the right stocks versus his ability as a CEO. Said differently, is Buffett mainly an investor or a manager? To address this, we decompose Berkshire’s returns into a part due to investments in publicly traded stocks and another part due to private companies run within Berkshire. The idea is that the return of the public stocks is mainly driven by Buffett’s stock selection skill, whereas the private companies could also have a larger element of management. We find that both public and private companies contribute to Buffett’s performance, but the portfolio of public stocks performs the best, suggesting that Buffett’s skill is mostly in stock selection. Why then does Buffett rely heavily on private companies as well, including insurance and reinsurance businesses? One reason might be that this structure provides a steady source of financing, allowing him to leverage his stock selection ability. Indeed, we find that 36% of Buffett’s liabilities consist of insurance float with an average cost below the T-Bill rate.In summary, we find that Buffett has developed a unique access to leverage that he has invested in safe, high-quality, cheap stocks and that these key characteristics can largely explain his impressive performance. Buffett’s unique access to leverage isconsistent with the idea that he can earn BAB returns driven by other investors’ leverage constraints. Further, both value and quality predict returns and both are needed to explain Buffett’s performance. Buffett’s performance appears not to be luck, but an expression that value and quality investing can be implemented in an actual portfolio (although, of course, not by all investors who must collectively hold the market).2.Data SourcesOur data comes from several sources. We use stock return data from the CRSP database, balance sheet data from the Compustat/XpressFeed database as well as hand-collected annual reports, holdings data for Berkshire Hathaway from Thomson Financial Institutional (13F) Holding Database (based on Berkshire’s SEC filings), the size and cost of the insurance float from hand-collected comments in Berkshire Hathaway’s annual reports, and mutual fund data from the CRSP Mutual Fund Database. We also use factor returns from Ken French’s website and from Frazzini and Pedersen (2013) and Asness, Frazzini, and Pedersen (2013). We describe our data sources and data filters in more detail in Appendix B.3.Buffett’s Track RecordBuffett’s track record is clearly outstanding. A dollar invested in Berkshire Hathaway in November 1976 (when our data sample starts) would have been worth more than $1500 at the end of 2011. Over this time period, Berkshire realized an averageannual return of 19.0% in excess of the T-Bill rate, significantly outperforming the general stock market’s average excess return of 6.1%.Berkshire stock also entailed more risk, realized a volatility of 24.9%, higher than the market volatility of 15.8%. However, Berskhire’s excess return was high even relative to its risk, earning a Sharpe ratio of 19.0%/24.9% = 0.76, nearly twice the market’s Sharpe ratio of 0.39. Berkshire realized a market beta of only 0.7, an important point that we will discuss in more detail when we analyze the types of stocks that Buffett buys. Adjusting Berkshire’s performance for market exposure, we compute its Information ratio to be 0.66.These performance measures reflect Buffett’s impressive returns, but also that Berkshire has been associated with some risk. Berkshire has had a number of down years and drawdown periods. For example, from June 30, 1998 to February 29, 2000, Berkshire lost 44% of its market value while the overall stock market gained 32%. While many fund managers might have had trouble surviving such a shortfall of 76%, Buffett’s impeccable reputation and unique structure as a corporation allowed him to stay the course and rebound as the internet bubble burst.To put Buffett’s performance in perspective, we compare Berkshire’s Sharpe and Information ratios to those of all other U.S. common stocks. If Buffett is more of a stock picker than a manager, an even better reference group than other stocks might be the universe of actively managed mutual funds so Table 1 compares Berkshire to both of these groups.Buffett is in the top 3% among all mutual funds and top 7% among all stocks. However, the stocks or mutual funds with the highest Sharpe ratios are often ones thathave only existed for a short time periods and had a good run, which is associated with a large degree of randomness.To minimize the effect of randomness, Table 1 also compares Berkshire to all stocks or mutual funds with at least a 10-year or 30-year history. Buffett’s performance is truly outstanding seen in this perspective. Among all stocks with at least a 30-year history from 1926 to 2011, Berkshire has realized the highest Sharpe ratio and Information ratio. If you could travel back in time and pick one stock in 1976, Berkshire would be your pick. Figures 1 and 2 also illustrate how Buffett lies in the very best tail of the performance distribution of mutual funds and stocks that have survived at least 30 years.4.Buffett’s LeverageBuffett’s large returns come both from his high Sharpe ratio and his ability to leverage his performance to achieve large returns at higher risk. Buffett uses leverage to magnify returns, but how much leverage does he use? Further, what are Buffett’s sources of leverage, their terms, and costs? To answer these questions, we study Berkshire Hathaway’s balance sheet, which can be summarized as follows:Stylized Balance Sheet of Berkshire HathawayAssets Liabilities and shareholders’ equityPublicly traded equities LiabilitiesPrivately held companies EquityCashTotal assets Total liabilitiesWe can compute Buffett’s leverage (L) as follows:L t=TA t MV−Cash t MVEquity t MVThis measure of leverage is computed each month as Berkshire’s total assets (TA t MV) less the cash that it owns (Cash t MV), relative to Berkshire’s equity value (Equity t MV). We would like to compute the leverage using market values(which we indicate with the superscript MV in our notation), but for some variables we only observe book values (indicated with superscript BV) so we proceed as follows. We observe the market value of Berkshire’s equity as the stock price multiplied by the shares outstanding and the cash holdings from Berkshire’s consolidated balance sheet (see Appendix A). Further, the balance sheet also tells us the book value of the total assets (TA t BV) and the book value ofequity (Equity t BV), which allows us to estimate the market value of the total asset (TA t MV) asTA t MV=TA t BV +Equity t MV−Equity t BVBased on this method, we estimate Buffett’s average leverage to be 1.6-to-1. This indicates a non-trivial use of leverage. This magnitude of leverage can help explain why Berkshire realizes a high volatility despite investing in a number of relatively stable businesses.By focusing on total assets to equity, we capture all kinds of liabilities and, as we discuss further below, Berkshire’s financing arises from a variety of types of liabilities. The two main liabilities are debt and insurance float and, if we instead compute leverage as (Equity t MV+Debt t+Float t)/Equity t MV then we estimate an average leverage of 1.4-to-1.As another expression of Buffett’s use of leverage, Berkshire’s stock price is significantly more volatile than the portfolio of publicly traded stocks that it owns as we describe in Section 5, Table 2. In fact, Berkshire’s 25% stock volatility is 1.4 times higher than the 17% volatility of the portfolio of public stocks, corresponding to a leverage of 1.4 assuming that Berkshire’s private assets have similar volatility and ignoring diversification effects. This leverage number is similar to the leverage computed based on the balance sheet variables.The magnitude of Buffett’s leverage can partly explain how he outperforms the market, but only partly. If one applies 1.6-to-1 leverage to the market, that would magnify the market’s average excess return to be about 10%, still falling far short of Berkshire’s 19% average excess return.In addition to considering the magnitude of Buffett’s leverage, it is also interesting to consider his sources of leverage including their terms and costs. Berkshire’s debt has benefitted from being highly rated, enjoying a AAA rating from 1989 to 2009. As an illustration of the low financing rates enjoyed by Buffett, Berkshire issued the first ever negative-coupon security in 2002, a senior note with a warrant.5Berkshire’s more anomalous cost of leverage, however, is due to its insurance float. Collecting insurance premia up front and later paying a diversified set of claims is like taking a “loan.” Table 3 shows that the estimated average annual cost of Berkshire’s insurance float is only 2.2%, more than 3 percentage points below the average T-bill rate. Hence, Buffett’s low-cost insurance and reinsurance business have given him a significant advantage in terms of unique access to cheap, term leverage. We estimate that 36% of Berkshire’s liabilities consist of insurance float on average.Based on the balance sheet data, Berkshire also appears to finance part of its capital expenditure using tax deductions for accelerated depreciation of property, plant and equipment as provided for under the IRS rules. E.g., Berkshire reports $28 Billion of such deferred tax liabilities in 2011 (page 49 of the Annual Report). Accelerating depreciation is similar to an interest-free loan in the sense that (i) Berkshire enjoys a tax saving earlier than it otherwise would have, and (ii) the dollar amount of the tax when it is paid in the 5 See /news/may2202.htmlfuture is the same as the earlier savings (i.e. the tax liability does not accrue interest or compound).Berkshire’s remaining liabilities include accounts payable and derivative contract liabilities. Indeed, Berkshire has sold a number of derivative contracts, including writing index option contracts on several major equity indices, notably put options, and credit default obligations (see, e.g., the 2011 Annual Report). Berkshire states:We received the premiums on these contracts in full at the contractinception dates … With limited exceptions, our equity index putoption and credit default contracts contain no collateral postingrequirements with respect to changes in either the fair value orintrinsic value of the contracts and/or a downgrade of Berkshire’scredit ratings.– Warren Buffett, Berkshire Hathaway Inc., Annual Report, 2011.Hence, Berkshire’s sale of derivatives may both serve as a source of financing and as a source of revenue as such derivatives tend to be expensive (Frazzini and Pedersen (2012)). Frazzini and Pedersen (2012) show that investors that are either unable or unwilling to use leverage will pay a premium for instruments that embed the leverage, such as option contracts and levered ETFs. Hence, Buffett can profit by supplying this embedded leverage as he has a unique access to stable and cheap financing.5.Decomposing Buffett: Public Stocks vs. Private CompaniesBerkshire Hathaway stock return can be decomposed into the performance of the publicly traded companies that it owns, the performance of the privately held companies that it owns, and the leverage it uses. The performance of the publicly traded companies is a measure of Buffett’s stock selection ability whereas the performance of the privately held companies additionally captures his success as a manager.To evaluate Buffett’s pure stock selection ability, we collect the portfolio of publicly held companies using Berkshire’s 13F filings to the Securities and Exchange Commission, and we construct a monthly times series of the market value of all Berkshire’s public stocks (Public t MV) as well as the monthly return on this mimicking portfolio (r t+1public). Specifically, at the end of each calendar quarter, we collectBerkshire’s common stock holdings from its 13F filing and compute portfolio monthly returns, weighted by Berkshire’s dollar holdings, under the assumption that the firm did not change holdings between reports. The stocks in the portfolio are refreshed quarterly based on the latest 13F, and the portfolio is rebalanced monthly to keep constant weights.We cannot directly observe the value and performance of Buffett’s private companies, but we can back them out based on what we do know. First, we can infer the market value of private holdings (Private t MV) as the residual given that we can observe the value of the total assets, the value of the publicly traded stocks, and the cash (see Buffett’s balance sheet above):Private t MV=TA t MV−Public t MV−Cash t MVWe then compute the return of these private holdings (r t+1Private) in a way that is immune to changes in the public stock portfolio and to splits/issuance using split-adjusted returns as follows:r t+1Private=∆Private t+1MVPrivate t MV=r t+1f Liabilities t MV+r t+1Equity Equity t MV−r t+1public Public t MV−r t+1f Cash t MVPrivate t MVHere, r t+1f is the risk-free T-Bill return, r t+1Equity is the return on Berkshire’s stock, and the market value of liabilities is estimated as Liabilities t MV=TA t MV−Equity t MV.We note that our estimate of the value of Berkshire’s private companies includes the value that the market attaches to Buffett himself (since it is based on the overall value of Berkshire Hathaway). To the extent that there is randomness or mispricing in Berkshire’s stock price (e.g., due to the Buffett-specific element), the estimated value and return of the private companies may be noisy.Given our estimates for Buffett’s public and private returns as well as his leverage, we can decompose Berkshire’s performance. (See the appendix for a rigorous derivation.) Berkshire’s excess return can be decomposed into a weighted average of the return on the public stocks and the return of the private companies, leveraged up by L:r t+1Equity−r t+1f=�w t�r t+1private−r t+1f�+(1−w t)�r t+1public−r t+1f��L tBerkshire’s relative weight w t on the private holdings is naturally given byw t=Private t MVPrivate t MV Public t MVEmpirically, we find that Berkshire owns 63% private companies on average from 1980 to 2011, the remaining 37% being invested in public stocks. Berkshire’s reliance on private companies has been increasing steadily over time, from less than 20% in the early 1980s to more than 80% in 2011.Table 2 shows the performance of both Buffett’s public and private positions. We see that both perform relatively well. Both Buffett’s public and private portfolios exceed the overall stock market in terms of average excess return, risk, and Sharpe ratio. We see that the public stocks have a higher Sharpe ratio than the private stocks, suggesting that Buffett’s skill comes mostly from his ability to pick stocks, and not necessarily his value added as a manager.Berkshire Hathaway’s overall stock return is far above returns of both the private and public portfolios. This is because Berkshire is not just a weighted average of the public and private components. It is also leveraged, which magnifies returns. Further, Berkshire’s Sharpe ratio is higher than those of the public and private parts, reflecting the benefits of diversification (and possibly benefits from time-varying leverage and time-varying public/private weights).6.Buffett's Alpha and Investment Style: What Type of Stocks?We have seen that Buffett’s returns can be attributed to his stock selection and his ability to apply leverage, but how then does he pick his companies? To address this, we consider Buffett’s factor exposures:r t−r t f=α+β1MKT t+β2SMB t+β3HML t+β4UMD t+β5BAB t+β6QMJ t+εt As seen in Table 4, we run this regression for the excess return r t−r t f of, respectively, Berkshire Hathaway stock, the portfolio of publicly held stocks inferred from the 13F filings, and the portfolio of private companies computed as described above.For each of these returns, we first run a regression on the market return, MKT. Berkshire has a beta less than one and a significant alpha. We next control for the standard factors that capture the effects of size, value (Fama and French (1993)), and momentum (Asness (1994), Carhart (1997), Jegadeesh and Titman (1993)). The size factor small-minus-big (SMB) is a strategy of going long small stocks and short large stocks. Hence, a positive loading on SMB reflects a tendency to buy small stocks while Berkshire’s negative loading reflects a tendency to buy large stocks. The value factor (HML) a strategy of buying high-book-to-market stocks while shortselling low-book-to-market stocks. Berkshire’s positive loading therefore reflects a tendency of buying stocks that are cheap in the sense of having a high book value relative to their market value. The last of the four “standard” factors is the momentum factor UMD, which corresponds to buying stocks that have been “up” in the sense of outperforming the market, while。
投资者投资心理分析
投资者投资心理分析徐梦菊金融四班js0947423摘要：现今，随着中国经济不断的发展与繁荣，人们对于投资的意识也有了很大的提高，很多人都想要在投资中赚一把，用钱来生钱，然而投资就如同赌博，输赢风险极大，稍一不顺就会输的一败涂地。
那么如何才能进行成功的投资呢？保持良好的投资心理对于投资取胜是至关重要的。
拥有良好的投资心理可使投资者更加有效和正确的对市场进行分析，如果一个人没有良好的心理素质，即使对市场了正确的分析，心理因素的干扰也会很大程度上影响投资者的操作和决策，如此便不能取得所预期的结果。
所以说投资中影响结果最重要的因素是投资者的心理。
本文主要从投资者几个不良的交易习惯来引出影响投资者投资决策的心理因素，并将具体介绍这些心理因素对投资者投资决策的影响，从而找出应对措施帮助投资者消除心中的疑惑，跨越投资心理误区，进而战胜人性中的弱点，使得投资者保持理性客观的态度来应对风云万变的投资市场。
关键词：成功投资不良习惯心理因素应对措施Abstract:Nowadays, along with the Chinese economy development and prosperity, people for the investment consciousness has been greatly improved, many people want to earn a money investment, make money, however the investment is like gambling, winning the great risk, a flow will suffer a big loss. Therefore, how to conduct a successful investment? To maintain a good psychological investment for investment to win is crucial. Has a good investment psychology can make investors more effectively and correctly analyze market, if a man does not have a good psychological quality, even on the market the correct analysis, psychological factors will greatly influence the investor's operation and decision-making, so will not be able to obtain the desired result. So to say, the investment is the most important factor to influence the investor psychology. This article mainly from the investors trading habits to lead to several adverse effects on the investment decision of the investors' psychological factors, and details of these psychological factors on investment decision-making influence, thereby finds out the countermeasures to help investors to eliminate the doubt in his heart, across investment mentalerrors, and overcome the weaknesses of human nature, so that investors remain rational and objective attitude to respond to changing market situation. Key words:Successful investing; Bad habits; Psychological factor; Counter measures正文：投资者在投资过程中普遍会有很多不良习惯，导致操作失误，账户资金严重亏损。
对赌协议 翻译英文
对赌协议翻译英文Gamble AgreementThis Gamble Agreement ("Agreement") is made and entered into on ___________ (date) by and between ___________ (Party A) and ___________ (Party B) (collectively referred to as the "Parties").WHEREAS, Party A and Party B intend to enter into a bet on the outcome of a certain event (the "Event");WHEREAS, the Parties agree to enter into this Agreement in order to set forth the terms and conditions under which the bet shall be made and settled.NOW, THEREFORE, the Parties hereby agree as follows:1. Basic Information of the PartiesParty A:Name:Address:ID No.:Passport No.:Party B:Name:Address:ID No.:Passport No.:2. Identity, Rights, Obligations, Performance, Term, and Liability of the Parties2.1 Identity of the PartiesParty A is an individual/ legal entity of ___________ (country), and has full legal capacity to enter into and perform this Agreement.Party B is an individual/ legal entity of ___________ (country), and has full legal capacity to enter into and perform this Agreement.2.2 Rights of the Parties2.2.1 Party A has the right to receive the bet from Party B, in accordance with the terms and conditions of this Agreement, if the designated outcome of the Event occurs.2.2.2 Party B has the right to receive the bet from Party A, in accordance with the terms and conditions of this Agreement, if the designated outcome of the Event does not occur.2.3 Obligations of the Parties2.3.1 Party A agrees to pay the designated amount of the bet to Party B, if the designated outcome of the Event does not occur.2.3.2 Party B agrees to pay the designated amount of the bet to Party A, if the designated outcome of the Event occurs.2.4 Performance2.4.1 The bet shall be settled and the designated amount shall be paid within ________ (days) from the date of the occurrence of the designated outcome of the Event.2.4.2 The designated outcome of the Event shall be determined in accordance with the objective and publicly available results of the Event.2.5 TermThis Agreement shall become effective on the date of execution and shall remain in effect until the designated outcome of the Event is determined and the bet is settled in accordance with the terms and conditions of this Agreement.2.6 Liability for Breach2.6.1 If Party A breaches any of its obligations under this Agreement, Party A shall be liable for damages suffered by Party B as a result of such breach.2.6.2 If Party B breaches any of its obligations under this Agreement, Party B shall be liable for damages suffered by Party A as a result of such breach.3. Compliance with Chinese LawBoth Parties hereby agree to comply with all relevant Chinese laws and regulations, including but not limited to laws and regulations related to gambling and betting.4. Clarity of Rights and ObligationsThe Parties hereby acknowledge that they fully understand their respective rights and obligations under this Agreement, andthat they have not been subject to any fraud, coercion, or undue influence in entering into this Agreement.5. Legal Effect and Enforceability5.1 This Agreement is binding upon and enforceable against the Parties in accordance with the laws of China.5.2 Any dispute arising out of or in connection with this Agreement shall be settled through friendly negotiation. If the Parties fail to resolve the dispute through negotiation, they shall submit the dispute to the court of competent jurisdiction in China for resolution.6. Miscellaneous6.1 This Agreement constitutes the entire agreement between the Parties with respect to the subject matter hereof, and supersedes all prior negotiations, understandings, and agreements between the Parties.6.2 No amendment, modification, or waiver of any provision of this Agreement shall be effective unless it is in writing and signed by both Parties.6.3 This Agreement may be executed in counterparts, each of which shall be deemed an original, but all of which together shall constitute one and the same instrument.IN WITNESS WHEREOF, the Parties have executed this Agreement as of the date first written above.Party A: __________________________ Party B: __________________________。
(财务知识)TE经济学人常用词汇总结
（财务知识）TE经济学人常用词汇总结1、绝对优势（Absoluteadvantage）如果一个国家用一单位资源生产的某种产品比另一个国家多，那么，这个国家在这种产品的生产上与另一国相比就具有绝对优势。
2、逆向选择（Adversechoice）在此状况下，保险公司发现它们的客户中有太大的一部分来自高风险群体。
3、选择成本（Alternativecost）如果以最好的另一种方式使用的某种资源，它所能生产的价值就是选择成本，也可以称之为机会成本。
4、需求的弧弹性（Arcelasticityofdemand）如果P1和Q1分别是价格和需求量的初始值，P2和Q2为第二组值，那么，弧弹性就等于-（Q1-Q2）（P1＋P2）/（P1-P2）（Q1＋Q2）5、非对称的信息（Asymmetricinformation）在某些市场中，每个参与者拥有的信息并不相同。
例如，在旧车市场上，有关旧车质量的信息，卖者通常要比潜在的买者知道得多。
6、平均成本（Averagecost）平均成本是总成本除以产量。
也称为平均总成本。
7、平均固定成本(Averagefixedcost）平均固定成本是总固定成本除以产量。
8、平均产品（Averageproduct）平均产品是总产量除以投入品的数量。
9、平均可变成本（Averagevariablecost）平均可变成本是总可变成本除以产量。
10、投资的β(Beta）β度量的是与投资相联的不可分散的风险。
对于一种股票而言，它表示所有现行股票的收益发生变化时，一种股票的收益会如何敏感地变化。
11、债券收益(Bondyield）债券收益是债券所获得的利率。
12、收支平衡图（Break－evenchart）收支平衡图表示一种产品所出售的总数量改变时总收益和总成本是如何变化的。
收支平衡点是为避免损失而必须卖出的最小数量。
13、预算线(Budgetline）预算线表示消费者所能购买的商品X和商品Y的数量的全部组合。
高考前夕应该重温的英文词汇搭配
1 accelerate vt. (使)加速，增速【例】accelerate the rate of economic growth 加速经济增长【派】acceleration n. 加速accelerating a.加速的2 account n. 账户、考虑【考】take sth. into account 把…考虑在内3 accustom vt.使习惯【考】be accustomed to4 adapt vi. 适应【考】adapt to…适应5 adjust vi.适应【考】adjust to...适应…6 advocate vt. 宣扬7 affluent a.富裕的【派】affluence n.富裕8 annoy vt.使烦恼, 使恼怒【派】annoying a. 令人恼人的; annoyance n. 烦恼;?annoyed a.颇为生气的9 ascribe vt.把…归咎于【考】ascribe..to 归因于10 assess vt.评估【派】assessment n. 评估11 assign vt.指派，选派；分配，布置（作业）【派】assignment 作业12 assume vt.假象、假定13 attain vt.获得【考】attain one's ideal 达到理想14 attribute vt. 把…归因于【考】attribute sth.? to 把...归咎于15 attribute vt.归咎于【考】be attributed to? attribute sth. to … 16 automatically ad. 自动地17 boost vt.提高，推动，使增长n. 推动，增长【例】boost the economy 推动经济增长【派】booster n.支持者，推动器18 brilliant a.光辉的、辉煌的【派】brilliance n. 19 collaborate vi.合作【考】collaborate with. sb. 20 comprehensive a. 综合的【考】综合性大学21 conscious a. 有意识的【考】be conscious of sth. 对…有意识22 conserve vt.保存、节省【考】conserve energy 保护能源23 considerate a. 考虑周到的24 contribute vt.贡献【考】contribute to 导致、带来、为…贡献25 convenient a.方便的n.convenience 方便26 convey vt.传达27 cooperate vt.合作【考】cooperative a.合作的28 coordinate vt.合作29 cultivate vt.培养30 derive vt. 出自、源于【考】derive from … 31 despair vi.绝望; n. 绝望【考】despair of 绝望; sb. be in despair 某人处于绝望中32 disapprove vt. 不批准、不赞同【派】disapproval n. 不赞同【考】express strong disapproval 33 dismiss vt.撤销、免职【考】be dismissed by one's company 被公司解雇34 distinguish vt.辨别【派】distinguished a.? 突出的35 distribute vt.分配、分发【考】distribution n.分配、分发36 dominate vt. 支配、统治【考】male-dominated society 男性主导社会37 embarrass vt.使窘迫, 使尴尬; 【派】embarrassed a.(某人)尴尬的; embarrassment n. 沮丧embarrassing a. (某事)令人尴尬的38 employ vt. 雇佣；使用【考】in the employ of 受雇于【派】employer n. 雇主；employee n.雇员employment n. 雇佣, 工作unemployment n. 失业39 engage vt. 从事、订婚【考】be engaged in sth. 从事… 40 enhance vt.加强41 enroll vt.注册、使…入会【派】enrollment 42 evacuate vt. 撤走、疏散43 evaluate vt.评价、估计【派】evaluation n. 44 evaluate vt.评价、估计45 excessive a.过度的46 frustrate vt.使沮丧, 使灰心【派】frustration n. 挫折; frustrating a. 令人沮丧的47 genetic a.遗传的48 guarantee vt. 保证49 identify vt.鉴别、验明【考】idenfity theft 辨别偷窃50 immigrate vt. 移民【派】immigrant n.移民immigration 51 implement vt.实施【派】implementation n. 52 incline vi.倾向【考】be inclined to do sth. 倾向于做某事53 inferior a.下级的、下等的【考】be inferior to 比…低级54 injure vt. 受伤【派】injured a.受伤的; injury n. 受伤55 inquire vi. 询问56 instinct n.本能、直觉【考】human instinct 人类本能57 integrate vt. 使结合、使一体化【派】integral a.一体的；integration n.一体【考】as an integral whole 作为一个整体global economic integration 全球经济一体化58 internship n.实习59 inverse a.倒转的、反转的60 justify vt.证明…是正当的61 launch vt. 发射、开展【考】launch the spacecraft 发射飞船launch a movement 发起一项运动62 negative a.消极的63 notify vt.通知、告诉【派】notification n. 64 obligation n.? 责任、义务【考】legal obligation? 法律责任65 obstacle n.障碍66 optimistic a. 乐观的【考】be optimistic about sth.对…很乐观67 originate vt.由…产生【考】originate from 由…产生68 overcome vt.战胜, 克服【例】overcome difficulties 克服困难69 phenomenon n.现象70 positive a.积极的71 potential a.潜在的【考】potential customer 潜在客户72 preferable a. 更好的73 prevail vt.压倒、胜过【派】prevailling a. 流行的74 priority n. 优先【考】sth. is the top priority 优先考虑… 75 proceed vi.进行、着手76 prompt vt.刺激、推动【考】prompt sb. to do sth. 77 proportion n.比例【派】proportional a.相应的、成比例的78 pursue vt. 追求【派】pursuit n. 追求【考】pursue one's dream 79 qualify vt. (使)胜任，（使）具有资格【考】qualify for sth. 使具有…的资格【派】qualification n.资格，条件；qualified a.有资格的80 recommend vt.推荐81 reference n.参考82 remind vt.提醒某人注意【考】be reminded of sth. 83 relevant a. 有关的，切题的【考】be relevant to 与…有关【派】relevance n. 有关，相关；irrelevant a. 不相关的；不切题的84 restore vt. 恢复、修复【考】restore reputation 恢复名誉85 restrain vt.遏制【考】be restrained to do sth.86 resume n.简历87 reverse vt.颠倒、反转88 sacrifice vt.牺牲89 starvation n.饿死90 submit vt. 提交【考】submit sth. to sb. 把…提交给某人91 subsidy n.津贴、补助【考】provide subsidy for sb. 为…提供津贴92 superior a.高级的、高等的【考】be superior to 比…高级93 survive vt.幸免于…【考】survive sth. 从…中幸免94 transmit vt. 传播95 tropical a.热带的96 undertake vt. 承担，着手做；保证，同意【考】undertake sth. 从事… 【派】undertaking n.事业，任务97 vanish vi. 消失98 victim n. 受害者99 visiable a.可看见的100 vision vt. 视力、眼光。
海外文献原文-推荐参考文献列表
海外文献推荐-第一期参考文献：[1] I-Cheng Yeh, Che-Hui Lien, Tao-Ming Ting, 2015, Building multi-factor stock selection models using balanced split regression trees with sorting normalisation and hybrid variables, Foresight and Innovation Policy, V ol. 10, No. 1, 48-74[2] Eugene F.Fama, KennethR.French, 2015, A Five-factor Asset Pricing Model, Journal of Financial Economics 116, 1-22[3] Achim BACKHAUS, Aliya ZHAKANOV A ISIKSAL, 2016, The Impact of Momentum Factors on Multi Asset Portfolio, Romanian Journal of Economic Forecasting XIX (4), 146-169[4] Francisco Barillas, Jay Shanken, 2016, Which Alpha? Review of Financial Studies海外文献推荐-第二期参考文献：[1] PRA VEEN KUMAR, DONGMEI LI, 2016, Capital Investment, Innovative Capacity, and Stock Returns, The Journal of Finance, VOL. LXXI, NO. 5, 2059-2094[2] Houda Ben Mabrouk, Abdelfettah Bouri, 2013, New insight on the CAPM: a copula-based approach Tunisian and international evidence, Accounting and Finance, Vol. 4, No. 1, 35-62 [3] FERHAT AKBAS, 2016, The Calm before the Storm, The Journal of Finance, VOL. LXXI, NO. 1,225-266海外文献推荐-第三期参考文献：[1] Yufeng Han, Guofu Zhou, Yingzi Zhu, 2016, A trend factor: Any economic gains from using information over investment horizons? Journal of Financial Economics 122, 352-375[2] Andrea Frazzini, LasseHeje Pedersen, 2014, Betting against beta, Journal of Financial Economics 111, 1-25[3] Doron Avramov, Si Cheng, and Allaudeen Hameed, 2016, Time-Varying Liquidity and Momentum Profits, JOURNAL OF FINANCIAL AND QUANTITATIVE ANAL YSI, Vol. 51, No. 6, 1897-1923[4] Nicholas Barberis, Abhiroop Mukherjee, Baolian Wang, 2014, Prospect Theory and Stock Returns: An Empirical Test, Review of Financial Studies海外文献推荐-第四期参考文献：[1] Brad M. Barber, Xing Huang, Terrance Odean, 2014, Which risk factors matter to investors? Evidence from mutual fund flows, Review of Financial Studies[2] MICHAEL J. COOPER, HUSEYIN GULEN, & MICHAEL J. SCHILL. (2008). Asset growth and the cross‐section of stock returns. Social Science Electronic Publishing, 63(4), 1609–1651.[3]Bollerslev, T., Li, S. Z., & Todorov, V. (2016). Roughing up beta: continuous versus discontinuous betas and the cross section of expected stock returns. Journal of Financial Economics, 120(3), 464-490.[4]Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment ⋆. Journal of Financial Economics, 104(2), 272-287.海外文献推荐-第五期参考文献：[1] Nicole Choi, Mark Fedenia, Tatyana Sokolyk, 2017, Portfolio Concentration and Performance of Institutional Investors Worldwide, Journal of Financial Economics[2]Cronqvist, H., Siegel, S., & Yu, F. (2015). Value versus growth investing: why do differentinvestors have different styles? ☆. Journal of Financial Economics, 117(2), 333-349.[3]Rapach, D. E., Ringgenberg, M. C., & Zhou, G. (2016). Short interest and aggregate stock returns . Journal of Financial Economics, 121(1), 46-65.[4]Novy-Marx, R. (2013). The other side of value: the gross profitability premium ☆. Journal of Financial Economics, 108(1), 1-28.海外文献推荐-第六期参考文献：[1] Suk Joon Byun, Sonya S. Limy, and Sang Hyun Yun, 2012, Continuing Overreaction and Stock Return Predictability, Journal of Financial and Quantitative Analysis[2]Eugene F. Fama, & Kenneth R. French. (2016). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123.[3]Keloharju, M., Linnainmaa, J. T., & Nyberg, P. (2016). Return seasonalities. Journal of Finance, 71(4), n/a-n/a.[4]Seasholes, M. S., & Wu, G. (2007). Predictable behavior, profits, and attention. Journal of Empirical Finance, 14(5), 590-610.[5]PA VEL SAVOR, & MUNGO WILSON. (2016). Earnings announcements and systematic risk. 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Optimizing value.Journal of Portfolio Management,42(2).[3]Chemmanur, Thomas J., Gang Hu and Jiekun Huang, 2015, Institutional Investors and the Information Production Theory of Stock Splits,Journal of Financial and Quantitative Analysis50(3), 413–445.海外文献推荐-第九期参考文献：[1]Penaranda, F. (2016). Understanding portfolio efficiency with conditioning information. Economics Working Papers, 51(3), 985-1011.[2]Cederburg, S., & O'Doherty, M. S. (2016). Does it pay to bet against beta? on the conditional performance of the beta anomaly. Journal of Finance, 71(2), 737-774.[3]Lindsey, R. R., & Weisman, A. B. (2016). Forced liquidations, fire sales, and the cost of illiquidity. Journal of Portfolio Management, 20(1), 45-57.海外文献推荐-第十期参考文献：[1] Easley, D., Hvidkjaer, S., & O'Hara, M. (2010). Factoring information into returns. Journal of Financial & Quantitative Analysis, 45(2), 293-309.[2]Babenko, I., Boguth, O., & Tserlukevich, Y. (2016). Idiosyncratic cash flows and systematic risk. 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leverage. For instance, many mutual fund families offer balanced funds in which the “normal” fund may invest around 40% in long-term bonds and 60% in stocks, whereas the “aggressive” fund invests 10% in bonds and 90% in stocks. If the “normal” fund is efficient, then an investor could leverage it and achieve a better trade-off between risk and expected return than the aggressive portfolio with a large tilt toward stocks. The demand for exchange-traded funds (ETFs) with embedded leverage provides further evidence that many investors cannot use leverage directly.
Keywords: Asset prices Leverage constraints Margin requirements Liquidity Beta CAPM
abstract
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets, produces significant positive riskadjusted returns. (3) When funding constraints tighten, the return of the BAB factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier assets.
ratio) and leverage or de-leverage this portfolio to suit their risk preferences. However, many investors, such as individuals, pension funds, and mutual funds, are constrained in the leverage that they can take, and they therefore overweight risky securities instead of using
article info
Article history: Received 16 December 2010 Received in revised form 10 April 2013 Accepted 19 April 2013 Available online 17 October 2013
JEL classification: G01 G11 G12 G14 G15
0304-405X/$ - see front matter & 2013 Elsevier B.V. All rights reserved. /10.1016/j.jfineco.2013.10.005
2
A. Frazzini, L.H. Pedersen / Journal of Financial Economics 111 (2014) 1–25
☆ We thank Cliff Asness, Aaron Brown, John Campbell, Josh Coval (discussant), Kent Daniel, Gene Fama, Nicolae Garleanu, John Heaton (discussant), Michael Katz, Owen Lamont, Juhani Linnainmaa (discussant), Michael Mendelson, Mark Mitchell, Lubos Pastor (discussant), Matt Richardson, William Schwert (editor), Tuomo Vuolteenaho, Robert Whitelaw and two anonymous referees for helpful comments and discussions as well as seminar participants at AQR Capital Management, Columbia University, New York University, Yale University, Emory University, University of Chicago Booth School of Business, Northwestern University Kellogg School of Management, Harvard University, Boston University, Vienna University of Economics and Business, University of Mannheim, Goethe University Frankfurt, the American Finance Association meeting, NBER conference, Utah Winter Finance Conference, Annual Management Conference at University of Chicago Booth School of Business, Bank of America and Merrill Lynch Quant Conference, and Nomura Global Quantitative Investment Strategies Conference. Lasse Heje Pedersen gratefully acknowledges support from the European Research Council (ERC Grant no. 312417) and the FRIC Center for Financial Frictions (Grant no. DNRF102).
Several questions arise: How can an unconstrained arbitrageur exploit this effect, i.e., how do you bet against beta? What is the magnitude of this anomaly relative to the size, value, and momentum effects? Is betting against beta rewarded in other countries and asset classes? How does the return premium vary over time and in the cross section? Who bets against beta?
Betting against beta$
Andrea Frazzini a, Lasse Heje Pedersen a,b,c,d,e,n
a AQR Capital Management, CT 06830, USA b Stern School of Business, New York University, 44 West Fourth Street, Suite 9-190, NY 10012, USA c Copenhagen Business School, 2000 Frederiksberg, Denmark d Center for Economic Policy Research (CEPR), London, UK e National Bureau of Economic Research (NBER), MA, USA
This behavior of tilting toward high-beta assets suggests that risky high-beta assets require lower riskadjusted returns than low-beta assets, which require leverage. Indeed, the security market line for US stocks is too flat relative to the CAPM (Black, Jensen, and Scholes, 1972) and is better explained by the CAPM with restricted borrowing than the standard CAPM [see Black (1972, 1993), Brennan (1971), and Mehrling (2005) for an excellent historical perspective].