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The beta anomaly and the quality effect in international stock markets

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dc.contributor.authorBradrania, R.
dc.contributor.authorVeron, J.F.
dc.contributor.authorWu, W.
dc.date.issued2023
dc.description.abstractWe investigate the beta anomaly and its relationship with stock quality in international stock markets. The beta anomaly exists in three aggregates (Europe, Pacific, and Global) and fourteen of the twenty-two country portfolios. We further demonstrate that stock quality explains the beta anomaly in international markets. The beta anomaly is statistically significant among junk (low-quality) stocks, and it does not exist among quality (high-quality) stocks. The results are robust in portfolio and regression analyses, both before and after controls. Finally, we show that the alphas of the beta anomaly estimated using the Fama–French-Carhart factor as well as Fama–French five-factor models disappear when augmented by the quality-minus-junk (QMJ) factor.
dc.identifier.citationJournal of Behavioral and Experimental Finance, 2023; 38(100808):1-18
dc.identifier.doi10.1016/j.jbef.2023.100808
dc.identifier.issn2214-6350
dc.identifier.issn2214-6369
dc.identifier.urihttps://hdl.handle.net/11541.2/33644
dc.language.isoen
dc.publisherElsevier
dc.rightsCopyright 2023 Elsevier. Under a Creative Commons license (https://creativecommons.org/licenses/by/4.0/) Access Condition Notes: Accepted manuscript is available open access
dc.source.urihttps://doi.org/10.1016/j.jbef.2023.100808
dc.subjectbeta
dc.subjectsock returns
dc.subjectbeta anomaly
dc.subjectbetting against beta
dc.subjectabnormal returns
dc.subjectstock quality
dc.titleThe beta anomaly and the quality effect in international stock markets
dc.typeJournal article
pubs.publication-statusPublished
ror.fileinfo12261479540001831 13261479530001831 Open Access Postprint
ror.fileinfo12262137110001831 13262137100001831 1-s2.0-S2214635023000229-main (1)
ror.mmsid9916731026101831

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