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5. Instead of admitting that Buffett's success cannot be explained by Fama-French + momentum model, they make an odious addition to the model:
"Our innovation is to also control for the Betting Against Beta (BAB) factor of Frazzini and Pedersen (2010) as well as the quality factor (QMJ, “quality minus junk”) of Asness, Frazzini, and Pedersen (2012b). A loading on the BAB factor reflects a tendency to buy safe (i.e., low-beta) stocks while shying away from risky (i.e., high-beta) stocks. Similarly, a loading on the quality QMJ factor reflects a tendency to buy high-quality companies, that is, companies that are profitable, growing, and paying out dividends (see Asness, Frazzini, and Pedersen (2012b) for details)." If you use CAPM, be a man and admit that the theory presupposes that low-beta stocks are also low-expected-return stocks. If their actual returns are better than high-beta stocks, the original theory was wrong! Don't prop it up with BAB and QMJ as if BAB and QMJ can be identified ex-ante. They can't.

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To be fair to the authors, they recently showed that low beta stocks actually return more than high beta stocks and have constructed a "betting against beta" factor to "explain" the result (they have no really good argument as to why this is, in fact, the case). Hence, they are not using the CAPM. In other words, they have an adequate enough understanding of the phenomenon to put a name on it but are still far from actually explaining it in a reasonable and convincing manner.

P.S. How do you get the italics on the original post when you reply? <quote> tags don't seem to achieve that.
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