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Cited by 1,954

The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.

Betting against beta

Open access
Frazzini, Andrea, Pedersen, Lasse Heje·2014·Journal of Financial Economics
DOI 10.1016/j.jfineco.2013.10.005
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Abstract

We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets, produces significant positive risk-adjusted returns. (3) When funding constraints tighten, the return of the BAB factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier assets.

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Metadata

Authors
Frazzini, A., & Pedersen, L. H.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2014-01
Volume
111
Issue
1
Pages
1-25
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2013.10.005
OpenAlex
W3123639445
Cited by
1,954
References
3
FWCI
191.37
Type
journal article
Language
en
Open access
hybrid

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CoChat. (2026). Citation check: Betting against beta. https://app.cochat.ai/papers/10.1016/j.jfineco.2013.10.005
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Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2013.10.005

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.