When does beta get priced?
The security market line is famously too flat. Drag the cutoff below to restrict the sample to days when institutional attention is concentrated on firm-specific news, and watch the line steepen toward the CAPM. Every number on this page is computed from the data behind Looking Away from the Market.
A note on the sample: the portfolios here are built from the roughly 2,500 stocks with Bloomberg institutional attention data, because that is what the attention residual requires. The state variable is not specific to that sample. In the paper it also prices beta across the full CRSP universe of individual stocks.
The security market line across attention states
Each day is classified by the residual from regressing aggregate institutional attention on attention to idiosyncratic news. A low residual means attention is anchored to firm-level news. The cutoff selects days whose residual is below the chosen trailing one-year percentile; 100 is the full sample.
| State | Share of days | Slope (bps) | t | Intercept (bps) | t | Avg R² |
|---|
Daily attention residual (5-day rolling median) and the paper's two state indicators, March 2012 to December 2024. Please cite the paper if you use it.
Table rows are daily Fama–MacBeth regressions of next-day portfolio excess returns on prior-day rolling betas, averaged over the days in each state, with time-series t-statistics. The two "paper" rows use the exact state definitions from the paper; the "selected" row uses the slider's cutoff.
How this page is built
Nothing on this page is computed on a server. A Python script (below) reads the daily portfolio returns, rolling betas, and the attention residual, and writes a small file of summary statistics: for each cutoff, the ten portfolio mean returns and the Fama–MacBeth slope, intercept, t-statistics, and R². The page reads that file and redraws when you move the slider. The underlying CRSP, Dow Jones, and Bloomberg data are licensed and are not distributed here.
Sample: . Portfolio construction, the attention residual, and the state definitions follow the paper, Sections 3 and 4.
The script below is an AI-replicated, condensed version of my hand-written research notebook, reduced to the steps needed to produce this page. The original hand-written code is available upon request.