Essays about: "Low-Beta Anomaly"

Found 5 essays containing the words Low-Beta Anomaly.

  1. 1. The Beta Anomaly in Recessions: Revisiting Beta's role in the Beta Anomaly

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martin Lokander; Petra Lundström; [2020]
    Keywords : Beta Anomaly; Recessions; Beta; Idiosyncratic Volatility; Leverage Constraints;

    Abstract : In this thesis, we extend upon existing research on the beta anomaly by investigating beta's role in the anomaly. This is done by studying the anomaly during recessions, where beta-driving variables such as leverage constraints likely are affected. READ MORE

  3. 2. Speculative Betas in Europe - Based on Evidence from Western European Stocks and Bonds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bence Földi; Tiran Zhao; [2018]
    Keywords : Asset pricing; Heterogeneous beliefs; Disagreement; Speculative betas; Security Market Line;

    Abstract : We find and present compelling evidence to reject the classic one-regime CAPM Security Market Line based on data from developed European equity markets which we proxy by taking the original 12 members of the euro area combined with the UK. We construct a bottom-up measure for aggregate disagreement which we prove to negatively influence the curvature of the Security Market Line. READ MORE

  4. 3. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Author : George Abo Al Ahad; Denis Gerzic; [2017]
    Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE

  5. 4. Bigger Beta is not always Better: A Study of Low-Beta Strategies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Julius Philipp Röder; Cherdwong Pongjindathip; [2015]
    Keywords : BAB; Low-Beta Anomaly; Index Investing; Country vs. Industry; Naive Strategy;

    Abstract : This paper tests to what extent it is possible by an individual investor to implement a low-beta strategy, using 78 MSCI indices of countries and industries with a naive diversification (equal-weighting). Five different strategies with three rebalancing windows are built, implementing a simple ranking method. READ MORE

  6. 5. Winning with IVOL

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Kristiansson; Sebastian Vogel; [2015]
    Keywords : idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

    Abstract : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. READ MORE