How Do Beta and Other Risk‐Based Portfolio Strategies Perform in Major Asian Markets?

This study evaluates the performance of betting against beta (BAB) and other risk‐based anomalies for the five largest Asian economies from January 1999 to March 2021. Unadjusted BAB premiums are significant only in China. Risk‐adjusted returns show that betting against lottery strategy in India and China, and betting against idiosyncratic volatility (IVOL) in Korea are the most profitable risk‐based strategies. Beta and other alternative risk measures do not overlap. Returns on risk‐based strategies differ across small and large firms. In China, some risk‐based premiums weaken under value weighting, suggesting that the corresponding anomalies are partly influenced by smaller firms. A key contribution of the study is linking risk‐based anomalies to investor‐type composition. Active retail participation is associated with beta, IVOL, and lottery‐based anomalies, whereas skewness and left‐tail risk‐based anomalies are associated with high institutional holdings.