Betting against beta strategy in other asset pricing anomalies
The beta anomaly, known as high (low) beta stocks always produce low (high) abnormal returns, is one of the main challenges to the traditional Capital Asset Pricing Model (CAPM). Inspired by the betting against beta strategy proposed by Frazzini and Pedersen (2014), we consider the long-short, zero-...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/61806/ |