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Type	Bachelor's Thesis
Scope	Discipline-based scholarship
Title	The Low-Risk Anomaly in South Korea
Organization Unit	Financial Engineering (Markus Leippold)
Authors	Heng Hong Ly
Supervisors	Benjamin Wilding Markus Leippold
Language	English
Institution	University of Zurich
Faculty	Faculty of Business, Economics and Informatics
Date	2020
Abstract Text	This thesis discusses the presence of the low-risk anomaly in the South Korean market. To create the portfolios, I used the historical components of the KOSPI 50. From the numbers it is visible that the difference in alphas between low-risk portfolios and high-risk portfolios is large over the 2000-2020 period. The results of this empirical analysis indicate that the alphas generated are not statistically significant. These results are then discussed, concluding that analysis should be repeated with a larger sample size to receive a better overview of the South Korean market or that the South Korean market is efficient according to the efficient market hypothesis.
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