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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Testing Low Beta Outperformance: Evidence from Europe |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 56 |
| Date | 2015 |
| Abstract Text | This study examines low-beta outperformance for the stock markets of Germany and the United Kingdom over the period 1995-2013. The well-known techniques of Black, Jensen and Scholes (1972) and Fama and MacBeth (1973) are used to test the Capital Asset Pricing Model with a focus on low-beta outperformance. I find evidence that low-beta portfolios tend to have higher alphas and Sharpe ratios than high-beta portfolios. Furthermore, the Security Market Line is in general empirically flatter than predicted by the standard form of the Capital Asset Pricing Model and for some periods even negative. |
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