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1. Beyond Rational - A study on the drivers of the beta anomaly in Sweden
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
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