Betting against beta strategy in other asset pricing anomalies

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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Bibliographic Details
Main Author: You, Shuangmeng
Format: Dissertation (University of Nottingham only)
Language:English
Published: 2020
Online Access:https://eprints.nottingham.ac.uk/61806/

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