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本期主题
Beta Uncertainty as a Barrier to Arbitrage and the Impact on Anomaly Returns
时 间：2025年6月3日（Tue.）
14:30 - 16:00 p.m.
地 点：同德楼204
主 讲：Yufeng Han (UNC Charlotte)
论文摘要
Beta uncertainty creates unavoidable risk in exploiting anomalies, suggesting an unexplored barrier to arbitrage. We measure beta uncertainty from parameter dynamics and estimation risk, decoupling it from idiosyncratic risk in a Bayesian market model accommodating separate processes for beta and idiosyncratic volatility. Anomalies with higher beta uncertainty generate substantially higher returns. For individual stocks, beta uncertainty is found to reduce arbitrage activity directly, thereby enhancing mispricing. These results support the arbitrage hurdle mechanism versus other hypotheses regarding beta uncertainty. The uncovered arbitrage barrier provides new evidence supporting attribution of observed anomalies to mispricing that cannot be fully corrected by arbitrage.
主讲简介
Dr. Yufeng Han joined the Belk College faculty as an associate professor of finance in 2016. Prior to joining UNC Charlotte, he served as a faculty member at the University of Colorado Denver and Tulane University. Dr. Han’s primary research interests are empirical asset pricing, investment, mutual funds, and econometrics. He has published in Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Real Estate Economics and many other finance and economics journals.
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