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Low Market-Beta or Low CAPM-Beta Anomaly? A Stricter Explanation Standard and a New Variant

https://doi.org/10.2139/ssrn.4058423
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Multifactor models do not explain deviations from the CAPM
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Estimating latent asset-pricing factors
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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Is momentum really momentum?
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The other side of value: The gross profitability premium
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Betting against beta
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A five-factor asset pricing model
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Leverage constraints and asset prices: Insights from mutual fund risk taking
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Absolving Beta of Volatility's Effects
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Choosing factors
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The cash conversion cycle spread
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Betting Against Betting Against Beta
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Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis
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Capital Market Equilibrium with Restricted Borrowing
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Multifactor Models and Their Consistency with the APT
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A Market-Based Funding Liquidity Measure
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Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
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Factors That Fit the Time Series and Cross-Section of Stock Returns
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The Cross-Section of Risk and Returns
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Can Cross-Border Funding Frictions Explain Financial Integration Reversals?
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Digesting Anomalies: An Investment Approach
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Dissecting Anomalies with a Five-Factor Model
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Mispricing Factors
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A Protocol for Factor Identification
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Comparing Cross-Section and Time-Series Factor Models
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An Augmented q -Factor Model with Expected Growth
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On the theory of correlation for any number of variables, treated by a new system of notation
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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The Cross-Section of Expected Stock Returns
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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The Conditional CAPM and the Cross-Section of Expected Returns
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Multifactor Explanations of Asset Pricing Anomalies
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On Persistence in Mutual Fund Performance
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The Delisting Bias in CRSP Data
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The 52‐Week High and Momentum Investing
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The Cross‐Section of Volatility and Expected Returns
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Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12286openalex-extracted
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.1111/jofi.12431openalex-extracted
Speculative Betas
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Comparing Asset Pricing Models
inferredcites →https://doi.org/10.1111/jofi.12616openalex-extracted
Margin Requirements and the Security Market Line
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Low‐Risk Anomalies?
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Momentum
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The Capital Asset Pricing Model: Theory and Evidence
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Implications of Security Market Data for Models of Dynamic Economies
inferredcites →https://doi.org/10.2139/ssrn.112748openalex-extracted
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-extracted
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.2155491openalex-extracted
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.2139/ssrn.2961979openalex-extracted
Replicating Anomalies
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2307/1907330openalex-extracted
Partial Time Regressions as Compared with Individual Trends
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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An Intertemporal Capital Asset Pricing Model
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The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
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Capital Market Equilibrium with Divergent Borrowing and Lending Rates
inferredcites →https://doi.org/10.2307/2331355openalex-extracted
Multifactor Portfolio Efficiency and Multifactor Asset Pricing
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On the Theory of Correlation for any Number of Variables treated by a New System of Notation.
inferredcites →https://doi.org/10.2307/2977928openalex-extracted
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Short and Long Horizon Behavioral Factors
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Interpreting Factor Models
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