讲堂题型：Beta Uncertainty as an Arbitrage Barrier and the Level of Anomaly Returns（贝塔不来确判定成为套利交易功能障碍和不正确效率水平方向）主 讲 人：韩豫峰 北卡罗来纳大家夏洛特分校讲课精力：2028年6月11日15:30培训讲座时间段：技术学院319培训课內容文献综述：With uncertainty surrounding risk loadings (beta uncertainty) arbitrageurs allocate less arbitrage capital to anomalies. In this paper, we introduce a Bayesian market model that explicitly accommodates separate random processes for beta and idiosyncratic volatility to estimate beta uncertainty in anomaly portfolios. The formulation avoids the pitfalls of conventional estimation that generates high correlation between beta uncertainty and idiosyncratic risk. We provide evidence that beta uncertainty serves as a barrier to arbitrage, slowing down active investment and thus is positively associated with future anomaly returns. We extend the analysis to the firm level and show that beta uncertainty amplifies the effect of the mispricing score on stock returns and reduces short-selling transactions.在风险隐患控制加权平均法（贝塔不来确界定）有不来确界定的条件下，无风险隐患套利刷卡交易刷卡交易者会将较少的无风险隐患套利刷卡交易刷卡交易投资者分派给发现异常情况的迹象。这里篇小论文中，米乐m6
带来了一大个贝叶斯卖场建模，该建模确立地将贝塔和标志性动荡性分离出来为有所差异的随机数工作，以大概发现异常情况的组装的贝塔不来确界定。此种形态避开了传统式大概的办法的有缺陷，即在贝塔不来确界定和标志性风险隐患控制之前形成高一些性。米乐m6
供应了证人证言发现，贝塔不来确界定有所作为无风险隐患套利刷卡交易刷卡交易的阻碍，延缓了主动的投资者，由于与未来是什么的发现异常情况的回报率呈正一些。米乐m6
将讲解扩充到品牌本质，并发现贝塔不来确界定会调大误售价分数线对创业板股票回报率的损害，并变少做空刷卡交易。主讲人人学界简单介绍：韩豫峰，北卡罗来纳高校夏洛特分校 (University of North Carolina at Charlotte)银行业服务系讲师，荷兰华盛顿高校 (Washington University in St. Louis) 银行业服务学医学博士。韩讲师进入北卡罗来纳高校夏洛特分校前各用在荷兰杜兰高校和科罗拉多高校丹佛分校认职。米乐m6
的领域收录实证债券销售价、成本、公募债券和计量检测学。米乐m6
整形杂志论文过于Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Real Estate Economics等银行业服务经济能力学杂志。
