Realized Semibetas: Signs of Things to Come

We propose a new decomposition of the traditional market beta into four semibetas depending on the signed covariation between the market and individual asset returns. Consistent with the pricing implications from a mean-semivariance framework, we show that higher semibetas defined by negative market and negative (positive) asset return covariation predict significantly higher (lower) future returns, while the other two semibetas do not appear to be priced. The results are robust to an array of alternative test specifications and additional controls. Rather than betting on or against beta, we conclude that it is better to bet on and against the "right" semibetas.

我们根据市场与单个资产收益之间的有符号协方差，将传统的市场贝塔系数分解为四个半贝塔系数。与均值 - 半方差框架的定价含义一致，我们表明，由负市场和负（正）资产收益协方差定义的较高半贝塔系数显著预测更高（更低）的未来收益，而另外两个半贝塔系数似乎没有定价。这些结果对于一系列替代测试规格和额外控制是稳健的。我们得出的结论是，与其对贝塔系数进行做多或做空，不如对“正确的”半贝塔系数进行做多和做空更好。