Communication à un séminaire :

David Sraer (University of Princeton), « Speculative Betas », Fédération des Banques Françaises Seminar on Investment Banking and Financial Markets, IDEI, Toulouse, 12 décembre 2011, 12:30-14:00, salle MF 323.
[ Texte complet ]


We provide a theory and evidence for when the Capital Asset Pricing Model fails. When investors disagree about the common factor of cashows, high beta assets are more sensitive to this aggregate disagreement than low beta ones and hence experience a greater divergence-of-opinion about their cashows. Costly short-selling then results in high beta assets experiencing binding short-sales constraints and being over-priced. When aggregate disagreement is low, the Security Market Line is upward sloping due to risk-sharing. But when it is large, the Security Market Line is initially increasing and then decreases with beta. At the same time, high beta assets in a dynamic setting also have greater share turnover, and especially so when aggregate disagreement is high. Using the dispersion of stock analysts' earnings forecasts to measure speculative disagreement, we find strong support for these predictions.

Programmes de recherche

Initiative de recherche Fédération des Banques Françaises sur la banque d'investissement et les marchés financiers

Groupe thématique TSE