of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods … accuracy. The results suggest that beta-hedged portfolios reduce variance for approximately 17% of the universe, with the Broad …

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search … attention presents a unique capacity to explain future betting against beta (BAB) performance that is not shared by other famous …

-recursive identification: market moments pin down the effective one-period risk loading and the "crash beta" mapping consumption disasters into …

Beta regression is a valuable statistical technique for modeling response variables within the standard unit interval … (0, 1), where values represent rates, proportions, or probabilities. However, outliers in beta regression can severely … residuals, providing robust frameworks for detecting outliers in beta regression models. Extensive simulation studies and real …