Titman, Sheridan; Iwasawa, Seiichiro; Uchiyama, Tomonori - In: International Review of Finance 14 (2014) 1, pp. 53-73
It is well known that high-beta stocks are associated with a low alpha relative to the capital asset pricing model and to the Fama–French three-factor model. We show that the beta anomaly in the Japanese market is attributable to foreign institutional investors, not domestic individuals....