ABSTRACT

We demonstrate a strong relationship between short-term small-firm premium and future low-beta anomaly performance. Rises (declines) in small-firm prices temporarily improve (deteriorate) funding conditions, benefiting (impairing) the short-run returns on the low-beta strategy. To investigate this phenomenon, we examine returns on betting-against-beta (BAB) and small-minus-big (SMB) factor portfolios in 24 developed markets for the years 1989–2018. A zero-investment strategy of going long (short) in BAB factors in the quintile of countries with the highest (lowest) three-month SMB return produces a mean return of 1.46% per month. The effect is robust when controlling for major risk factors in equity markets, alternative portfolio construction methods, and subperiod analysis. The predictability of BAB performance by SMB returns is also present in the time series of individual country returns, forming the grounds for effective timing in the low-beta strategies.

摘要

我们证明了短期小公司溢价与未来低beta异常表现之间的密切关系。小公司价格的上涨（下降）暂时改善（恶化）了融资状况，使（低收益）低贝塔策略的短期收益受益。为了研究这种现象，我们研究了1989-2018年24个发达市场中的抗贝塔（BAB）和小负大（SMB）因子投资组合的回报。在拥有最高（最低）三个月SMB收益的国家中，五分之一的BAB要素做多（做空）的零投资策略每月产生的平均收益为1.46％。当控制股票市场中的主要风险因素，替代投资组合的构建方法以及子周期分析时，这种效果是强大的。