Abstract
The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks (“betting against beta”) has been shown to deliver significant risk-adjusted returns. Some have suggested, however, that such “low-risk investing” delivers high returns primarily because of industry bets that favor a slowly changing set of stodgy, stable industries. The authors refute this notion by showing that a strategy of betting against beta has delivered positive returns both as an industry-neutral bet within each industry and as a pure bet across industries.
Originalsprog | Engelsk |
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Tidsskrift | Financial Analysts Journal |
Vol/bind | 70 |
Udgave nummer | 4 |
Sider (fra-til) | 24-41 |
Antal sider | 18 |
ISSN | 0015-198X |
Status | Udgivet - 2014 |