Sökning: "Lottery demand"

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  1. 1. 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