Speculative Betas: Speculative Betas

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Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure and the Low Risk Anomaly (2015, background): “More generally, the extra costs of shorting inhibit sophisticated investors’ ability to exploit overpricing (Hong and Sraer 2014).”
Investor Sentiment and Economic Forces (2017, methodology): “Finally, many other mechanisms, including money illusion (Cohen, Polk, and Vuolteenaho (2005)) and the combination of divergence of opinions and short-sale constraints (Miller (1977) and Hong and Sraer (2016)), can potentially lead to mispricing in the stock market.”
Deep learning with long short-term memory networks for financial market predictions (2017, background): “…the cumulative return from day t − 20 of the sequence until day t − 240 of the sequence, denoted beta can be an important return predictive signal - see Baker et al. (2011); Frazzini and Pedersen (2014); Hong and Sraer (2016), and a higher beta is a key characteristic of the selected stocks.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Hong and Stein (1999) and Barberis and Shleifer (2003) use models in which some investors extrapolate past price changes to think about the cross-section of average returns.”