{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,17]],"date-time":"2026-09-17T21:41:06Z","timestamp":1789681266973,"version":"4.0.1"},"reference-count":56,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2016,3,18]],"date-time":"2016-03-18T00:00:00Z","timestamp":1458259200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["The Journal of Finance"],"published-print":{"date-parts":[[2016,4]]},"abstract":"<jats:title>ABSTRACT<\/jats:title><jats:p>Prior studies find that a strategy that buys high\u2010beta stocks and sells low\u2010beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to \u201cbet against beta.\u201d We show, however, that the conditional beta for the high\u2010minus\u2010low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward\u2010biased estimate of the true alpha. We model the conditional market risk for beta\u2010sorted portfolios using instrumental variables methods and find that the conditional CAPM resolves the beta anomaly.<\/jats:p>","DOI":"10.1111\/jofi.12383","type":"journal-article","created":{"date-parts":[[2015,12,22]],"date-time":"2015-12-22T10:05:06Z","timestamp":1450778706000},"page":"737-774","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":111,"title":["Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly"],"prefix":"10.1111","volume":"71","author":[{"given":"SCOTT","family":"CEDERBURG","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"MICHAEL S.","family":"O'DOHERTY","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2016,3,18]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2005.12.001"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v70.n4.1"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12010"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj025"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12280"},{"key":"e_1_2_7_7_1","doi-asserted-by":"crossref","unstructured":"Bali Turan G. StephenBrown ScottMurray andYiTang 2014 Betting against beta or demand for lottery Working paper Georgetown University.","DOI":"10.2139\/ssrn.2408146"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00161"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/295472"},{"key":"e_1_2_7_10_1","volume-title":"Studies in the Theory of Capital Markets","author":"Black Fischer","year":"1972"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90056-9"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.06.002"},{"key":"e_1_2_7_13_1","doi-asserted-by":"crossref","unstructured":"Boguth Oliver MurrayCarlson AdlaiFisher andMikhailSimutin 2015 Horizon effects in average returns: The role of slow information diffusion http:\/\/dx.doi.org\/10.2139\/ssrn.1787215.","DOI":"10.2139\/ssrn.1787215"},{"key":"e_1_2_7_14_1","doi-asserted-by":"crossref","unstructured":"Boguth Oliver andMikhailSimutin 2015 Leverage constraints and asset prices: Insights from mutual fund risk taking Working paper Arizona State University.","DOI":"10.2139\/ssrn.2517704"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.4.467"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1973.tb01387.x"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00709.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03941.x"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht040"},{"key":"e_1_2_7_20_1","volume-title":"Asset Pricing","author":"Cochrane John H.","year":"2005"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm046"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00832.x"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90020-7"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01054.x"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00148"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02690.x"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.005"},{"key":"e_1_2_7_31_1","first-page":"607","article-title":"Measurement of portfolio performance under uncertainty","volume":"60","author":"Friend Irwin","year":"1970","journal-title":"American Economic Review"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90020-9"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01652.x"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.003"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1086\/375379"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01541.x"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb01992.x"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00971.x"},{"key":"e_1_2_7_39_1","doi-asserted-by":"crossref","unstructured":"Huang Shiyang DongLou andChristopherPolk 2014 The booms and busts of beta arbitrage Working paper London School of Economics.","DOI":"10.2139\/ssrn.2666910"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05201.x"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05171.x"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1086\/323282"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.012"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl034"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01481.x"},{"key":"e_1_2_7_46_1","unstructured":"Malkhozov Aytek PhillippeMueller AndreaVedolin andGyuriVenter 2015 International illiquidity Working paper McGill University."},{"key":"e_1_2_7_47_1","first-page":"261","article-title":"The cost of capital, corporation finance and the theory of investment","volume":"48","author":"Modigliani Franco","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_7_49_1","doi-asserted-by":"crossref","unstructured":"Novy\u2010Marx Robert 2014 Understanding defensive equity Working paper University of Rochester.","DOI":"10.3386\/w20591"},{"key":"e_1_2_7_50_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1110.1502"},{"key":"e_1_2_7_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00778.x"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330365"},{"key":"e_1_2_7_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90055-7"},{"key":"e_1_2_7_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1973.tb01356.x"},{"key":"e_1_2_7_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90095-B"},{"key":"e_1_2_7_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03818.x"},{"key":"e_1_2_7_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00725.x"}],"container-title":["The Journal of Finance"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1111%2Fjofi.12383","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1111%2Fjofi.12383","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1111\/jofi.12383","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T14:01:31Z","timestamp":1696514491000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/jofi.12383"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,3,18]]},"references-count":56,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,4]]}},"alternative-id":["10.1111\/jofi.12383"],"URL":"https:\/\/doi.org\/10.1111\/jofi.12383","archive":["Portico"],"relation":{},"ISSN":["0022-1082","1540-6261"],"issn-type":[{"value":"0022-1082","type":"print"},{"value":"1540-6261","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,3,18]]},"assertion":[{"value":"2013-04-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2015-05-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2016-03-18","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}