Based on an OLG model with leverage constraints and margin requirements we use cross-sectional and time-series regression framework to analyze potential of a new factor premium in several asset classes. We confirm the presence of the so called “Betting Against Beta” premium in markets for US Treasury bonds, US corporate bonds, futures and equity indices in both developed and emerging markets. We explore long-term investment properties of the factors and find low but time-varying correlation structure among BAB factors in different asset classes. We note that before implementing the strategy the omitted transaction costs have to be considered as well as existing asset allocation strategies based on the fact that equity based BAB factors realize significant loadings on the recently popular minimum volatility indices.

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