This article has some very interesting analysis of high beta vs low beta stock performance, and how the returns relative to the overall market can be explained by asymmetric payoffs... they use option performances to show that extracting those asymmetries lets you get back to market-like returns. I definitely need to think about this more to see whether this influences the idea of an "efficient market" - the higher return for low beta stocks is often what seems to drive value investing and the "anomalies" that this approach claims to show inefficiency in the market. I still don't completely believe in market efficiency, but this analysis makes me think twice.
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