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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | How Robust ist Betting against Beta? |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 54 |
| Date | 2020 |
| Abstract Text | This thesis examines how robust the betting against beta strategy by Frazzini and Pedersen (2014) is when applying more conventional procedures, i.e. betas are estimated differently and the BAB portfolio is being constructed by a valueweighting instead of a rankweighting approach. This study finds a BAB factor which earns statistically significant and positive risk-adjusted returns for all the approaches. Besides, it finds that when funding constraints tighten only the rankweighted BAB factor is low and only rankweighted betas are compressed towards one when funding liquidity risk increases. |
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