Sökning: "Betting against beta"

Hittade 3 uppsatser innehållade orden Betting against beta.

  1. 1. By Vice or Virtue: Does it Pay Off to Sin During Market Downturns?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :William Sandell; Albin Lindgren; [2021]
    Nyckelord :Sin stocks; Socially responsible investing; Recession resistance; Alpha; Beta; Business and Economics;

    Sammanfattning : This paper investigates sin stock characteristics through relative return performance compared to the global market index MSCI World, defining stock defensiveness towards market movements (i.e. recession resistance) and abnormal amounts of excess returns. LÄS MER

  3. 2. International Volatility-Managed Equity Factors

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Charles Ye; Gustav Österberg; [2018]
    Nyckelord :international asset pricing; volatility-managed portfolios; volatility timing; momentum crashes;

    Sammanfattning : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. LÄS MER

  4. 3. Beyond Rational - A study on the drivers of the beta anomaly in Sweden

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Karl Hellgren; Alexander Helmy; [2017]
    Nyckelord :Beta anomaly; Betting against beta; Lottery demand; Leverage constraints; Asset pricing;

    Sammanfattning : Inspired by previous findings that low (high) beta stocks earn abnormally high (low) returns we set out to explore this relation, often called the beta anomaly. We prove that the beta anomaly is present in our sample of Swedish stocks. The alpha generated by a betting against beta portfolio that exploits the beta anomaly is 1.71% per month. LÄS MER