{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T18:37:55Z","timestamp":1792607875048,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":18,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We document a consequential discrepancy at the center of the volatility puzzle in Barroso, Detzel, and Maio (2025), hereafter BDM. The authors' released code reproduces the reported results almost exactly, but it applies an additional fixed 0.75 transformation to the portfolio beta spread that is absent from BDM's published betting-against-beta (BAB) equation. Implementing BDM's published equation (4) reduces the headline low-minus-high BAB-volatility six-factor (FF6) alpha by more than 40%, from about 0.97% per month (t = 3.03) to 0.56% (t = 1.67), and reduces the analogous Table 8 own-volatility spread from about 0.63% (t = 1.84) to 0.16% (t = 0.47). Both discrete-state results lose conventional statistical significance, although the fully controlled continuous-volatility result remains. An independent reconstruction through 2024 shows that 0.75 is nearly market neutral during 1965-2016 but not thereafter: the ex post market-neutral coefficient falls to about 0.59 after 2016, and real-time forecasts indicate substantial time variation in the required hedge. Because BAB volatility is computed from hedged BAB returns, the hedge also changes the volatility-state classification. This endogenous reclassification accounts for much of the sensitivity of the discrete volatility puzzle to hedge construction.<\/jats:p>","DOI":"10.2139\/ssrn.7292059","type":"posted-content","created":{"date-parts":[[2026,8,19]],"date-time":"2026-08-19T15:24:29Z","timestamp":1787153069000},"source":"Crossref","is-referenced-by-count":0,"title":["Revisiting the Volatility Puzzle of the Beta Anomaly: Replication and Real-Time Evidence"],"prefix":"10.2139","author":[{"given":"Licheng","family":"Sun","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"6","key":"ref1","doi-asserted-by":"crossref","first-page":"2557","DOI":"10.1111\/jofi.12189","article-title":"Financial intermediaries and the cross-section of asset returns","volume":"69","author":"T Adrian","year":"2014","journal-title":"The Journal of Finance"},{"issue":"2","key":"ref2","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1287\/mnsc.2014.2101","article-title":"Investor sentiment, beta, and the cost of equity capital","volume":"62","author":"C Antoniou","year":"2016","journal-title":"Management Science"},{"issue":"3","key":"ref3","doi-asserted-by":"crossref","first-page":"629","DOI":"10.1016\/j.jfineco.2019.07.003","article-title":"Betting against correlation: Testing theories of the low-risk effect","volume":"135","author":"C Asness","year":"2020","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"ref4","doi-asserted-by":"crossref","first-page":"1645","DOI":"10.1111\/j.1540-6261.2006.00885.x","article-title":"Investor sentiment and the cross-section of stock returns","volume":"61","author":"M Baker","year":"2006","journal-title":"The Journal of Finance"},{"issue":"2","key":"ref5","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1257\/jep.21.2.129","article-title":"Investor sentiment in the stock market","volume":"21","author":"M Baker","year":"2007","journal-title":"Journal of Economic Perspectives"},{"issue":"6","key":"ref6","doi-asserted-by":"crossref","first-page":"2369","DOI":"10.1017\/S0022109017000928","article-title":"A lottery-demand-based explanation of the beta anomaly","volume":"52","author":"T G Bali","year":"2017","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"ref7","doi-asserted-by":"crossref","DOI":"10.1016\/j.jfineco.2025.103994","article-title":"The volatility puzzle of the beta anomaly","volume":"165","author":"P Barroso","year":"2025","journal-title":"Journal of Financial Economics"},{"issue":"6","key":"ref8","doi-asserted-by":"crossref","first-page":"3771","DOI":"10.1111\/jofi.13484","article-title":"Pockets of predictability: A replication","volume":"80","author":"N Cakici","year":"2025","journal-title":"The Journal of Finance"},{"issue":"1","key":"ref9","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1111\/j.1540-6261.1997.tb03808.x","article-title":"On persistence in mutual fund performance","volume":"52","author":"M M Carhart","year":"1997","journal-title":"The Journal of Finance"},{"issue":"2","key":"ref10","doi-asserted-by":"crossref","first-page":"737","DOI":"10.1111\/jofi.12383","article-title":"Does it pay to bet against beta? 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