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10 October 2018
20181539129600000
No. 096

Chasing Returns with High-Beta Stocks

Roongkiat RatanabanchuenKanis Saengchote

Abstract

One of the proposed explanations for the low-beta anomaly – a prevalent yet puzzling empirical finding that stocks with low systematic risk tend to earn higher returns than the Capital Asset Pricing Model (CAPM) predicts and vice versa – is that leveraged-constrained and index-benchmarked mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai mutual fund managers, on average, favor high-beta stocks and tend to alter their portfolio composition of high-beta stocks in response to fund flows. In addition, funds that hold high-beta stocks perform poorly compared to their peers: a one standard deviation increase in high-beta stock holdings is associated with a 1.3 percentage point decrease in future relative returns.

Roongkiat Ratanabanchuen
Roongkiat Ratanabanchuen
Chulalongkorn Business School
Kanis Saengchote
Kanis Saengchote
Chulalongkorn University
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JEL: G11G23
Tags: high-beta stocksmutual fund returnslow-beta anomaly
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Roongkiat Ratanabanchuen
Roongkiat Ratanabanchuen
Chulalongkorn Business School
Kanis Saengchote
Kanis Saengchote
Chulalongkorn University

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