We investigate the role of investors’ net hedging strategy (factor) in predicting stock returns and pricing the cross-section of individual stocks and equity portfolios. We estimate stock exposure to changes in the hedging factor and show that the hedging premium is driven by outperformance of stocks with large positive net hedging betas, which explains their higher average returns. We find the positive hedging premium indicates risk-averse investors demand extra compensation to hold stocks with higher equity risk premiums, and they are themselves willing to pay higher prices for stocks with positive hedging betas.

中文翻译：

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股票收益横截面中的对冲因子定价

我们调查了投资者的净套期保值策略（因子）在预测股票收益以及对单个股票和股票投资组合的横截面定价中的作用。我们估计股票受到套期保值因素变化的影响，并表明套期保费是由净套期保值beta值较大的股票的表现所驱动，这解释了它们的平均收益较高。我们发现对冲溢价为正值表示避险的投资者要求对持有较高股票风险溢价的股票进行额外补偿，而他们自己也愿意为对冲贝塔值为正的股票支付更高的价格。