We offer a new perspective on the low-beta anomaly by acknowledging the omitted-variable problem in the correlation component of beta: Correlation is “plagued” by firm size (the omitted variable) to exhibit a negative price. Once isolating the size impact, a hidden positive price emerges for the size-orthogonalized component of correlation. Further analyses suggest that (a) the positive price of the size-orthogonalized component is not due to mispricing, supporting the return comovement-based pricing channel; (b) the negative price of the size-explained component is related to illiquidity and coskewness.; (c) the omitted-variable problem also applies to the pricing of beta.

中文翻译：

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相关性和遗漏变量：两个价格的故事

我们通过承认 beta 的相关性分量中的遗漏变量问题，提供了关于低 beta 异常的新视角：相关性受到公司规模（遗漏变量）的“困扰”以显示负价格。一旦隔离了尺寸影响，相关性的尺寸正交分量就会出现一个隐藏的正价格。进一步的分析表明 (a) 尺寸正交化组件的正价格不是由于定价错误，支持基于回报联动的定价渠道；(b) 尺寸解释成分的负价格与流动性不足和偏斜有关。(c) 遗漏变量问题也适用于 beta 的定价。