Speculative Betas

Preprint OPEN
Harrison Hong; David Sraer;
(2012)
  • Subject:
    • jel: jel:G12 | jel:G11 | jel:G02
    mesheuropmc: health care economics and organizations

We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of... View more
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