We investigate the factor exposure of smart beta ETFs under model uncertainty using Bayesian variable selection. We find that smart beta ETFs have exposures to several factors, including size, value, momentum, quality, volatility/low beta, and dividend yield. The average return contribution of...

We investigate asset returns using the concept of beta herding, which measures cross-sectional variations in betas induced by investors whose beliefs about the market are biased due to changes in confidence or sentiment. Overconfidence or optimistic sentiment causes beta herding (compression of...

We revisit the relationship between betas and cross-sectional asset returns, by investigating asymmetric responses of asset returns to the market portfolio return and their relationship with firm characteristics. We demonstrate that post-formation portfolios in asset pricing tests, which are...