题　目：Beta Uncertainty as a Barrier to Arbitrage and the Impact on Anomaly Returns

嘉　宾：韩豫峰 教授 北卡罗莱纳大学夏洛特分校

主持人：张澄宇 助理教授 上海交通大学安泰经济与管理学院

时　间：2025年5月30日（周五）10:00-11:30

地　点：上海交通大学 徐汇校区安泰浩然楼308室

内容简介:

Beta uncertainty creates unavoidable risk in exploiting anomalies, suggesting an unexplored barrier to arbitrage. We measure beta uncertainty from parameter dynamics and estimation risk, decoupling it from idiosyncratic risk in a Bayesian market model accommodating separate processes for beta and idiosyncratic volatility. Anomalies with higher beta uncertainty generate substantially higher returns. For individual stocks, beta uncertainty is found to reduce arbitrage activity directly, thereby enhancing mispricing. These results support the arbitrage hurdle mechanism versus other hypotheses regarding beta uncertainty. The uncovered arbitrage barrier provides new evidence supporting attribution of observed anomalies to mispricing that cannot be fully corrected by arbitrage.

演讲人简介：

Dr. Yufeng Han is a full professor of finance at the Belk College of Business, University of North Carolina at Charlotte. He currently serves as the program director of the M. S. in Mathematical Finance. Dr. Han joined the Belk College of Business as a tenured associate professor of finance in 2016. Prior to joining UNC Charlotte, Dr. Han served as a faculty member at the University of Colorado Denver and Tulane University. He received a Ph.D. in Finance from Washington University in St. Louis in 2003.

Dr. Han’s primary research focuses on the stock markets, aiming at understanding and forecasting the behavior of stock returns. He also has research interests in options, commodity, and bond markets. He has published many articles in elite journals such as Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Review of Finance. He also received several awards including Excellence in Research Award and Petri Research Award at University of Colorado Denver and Best Paper Award at World Finance Conference. Dr. Han has taught multiple courses at various levels including undergraduate, graduate (MBA, Master of Finance, etc.), and Ph.D.

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