Betting Against Beta
---- Acknowledgements -----
We thank Cliff Asness, Aaron Brown, John Campbell, Kent Daniel, Gene Fama, Nicolae Garleanu, John Heaton (discussant), Michael Katz, Owen Lamont, Michael Mendelson, Matt Richardson, Tuomo Vuolteenaho and Robert Whitelaw for helpful comments and discussions as well as seminar participants at Columbia University, New York University, Yale University, Emory University, University of Chicago Booth, Kellogg School of Management, Harvard University, NBER Behavioral Economics 2010, and the 2010 Annual Management Conference at University of Chicago Booth School of Business. The authors are affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.