Risk-Premium#41tier 1live in production
speculative beta
cadence: Dailydata: lowlong onlyshort onlylong short
JF
2016
Journal of Finance
#41 speculative_beta — Hong-Sraer 2016 speculative betas.
Citation only — paper link pending.
Mechanism
Distinct from BAB (#16): Hong-Sraer 2016 (JF) show that the underperformance of high-beta stocks is concentrated in periods of high disagreement (proxied by analyst forecast dispersion OR by realized vol dispersion across estimation windows). Low-disagreement high-beta is fine; high-disagreement high-beta
Signal rule
• SHORT high-beta + high-dispersion (the "speculative high beta" trap) • LONG low-beta + low-dispersion (the BAB long leg, refined)
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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