Good question.

Will the stock with negative beta have a lower expected return?

负相关
市场形势差的时候，这类车企的波动小，换成股票来看的话比较抗跌

it is inversely negatively correlated to market trend.
某些的支柱产业有可能会成为比较抗跌的股票（在下跌市场上）
如lz所说，有时候Beta是负数，因为可能该公司的return 低于所比较的 bench mark (index)也有可能。因为在大市上升是，大量的资金会流向回报率较高的行业如金融，所以投资在汽车制造就会少，造成股价上升低于大盘，所以就产生negative beta.

http://en.wikipedia.org/wiki/Beta_%28finance%29

这里有关于beta的解释。

A negative beta might occur even when both the benchmark index and the stock under consideration have positive returns. It is possible that lower positive returns of the index coincide with higher positive returns of the stock, or vice versa. The slope of the regression line in such a case will be negative.——wikipedia