Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than CAPM predicts and vice versa is mutual funds drive up demand high-beta stocks, leading mispricing. We find evidence Thai equity alter their exposure in response fund flows, but only incentivized where investors receive immediate tax benefits. argue benefits change way make decisions, raising an issue of how public policies may have unintended consequences capital markets.