Abstract
ABSTRACT This study investigates the relation between the beta anomaly and the 52-week high in the Chinese stock market. Results indicate that the magnitude of the beta anomaly depends strongly on the distance between current stock prices and their 52-week highs. Buying the high-beta stocks and selling the low-beta stocks generates a significant −1.17% monthly return when stock prices are near the 52-week high, but it becomes insignificant as stocks far from their 52-week high prices. Our findings cannot be subsumed by the effect of investors’ heterogeneous beliefs, reference-dependent preferences, lottery demand, and idiosyncratic volatility preferences.
Published Version
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