The abnormal returns of the Betting Against Beta (BAB) strategy have attracted much interest among researchers and practitioners. Based on a market anomaly related to the Capital Asset Pricing Model, this strategy uses daily beta as a signal for portfolio construction. However, recent literature shows how some financial quantities, including beta, change between trading and non-trading periods. For this reason, we decided to compare the performance of the original BAB strategy with two BAB variants, where the signal for portfolio construction is given by intraday and overnight beta, respectively. Despite all strategies exhibiting positive cumulative returns, using the intraday beta signal leads to significantly higher performances. Further analyses show that the abnormal intraday BAB returns are mainly due to nano and micro-cap stocks which tend to outperform large-cap stocks, as well known from the literature.

Betting Against Beta (BAB) 策略的异常收益引起了研究人员和从业者的极大兴趣。基于与资本资产定价模型相关的市场异常，该策略使用每日 beta 作为投资组合构建的信号。然而，最近的文献显示了一些金融数量，包括 beta，在交易和非交易期间是如何变化的。出于这个原因，我们决定将原始 BAB 策略的性能与两个 BAB 变体进行比较，其中投资组合构建的信号分别由日内和隔夜 beta 给出。尽管所有策略都显示出积极的累积回报，但使用日内 beta 信号会带来显着更高的表现。