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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Betting Against Beta: Evidence from Switzerland |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 40 |
| Date | 2022 |
| Abstract Text | In this thesis we study the implantation of a Betting Against Beta strategy on the Swiss Equity market. We try to address some of the criticism directed against the methods of Frazzini and Pedersen (2014). We find many indications pointing towards the existence of a low beta anomaly. In total Betting Against Beta achieves mixed results. While we discover high returns, contrary to Frazzini and Pedersen (2014) we fail to find statistically significant alphas. High correlations with other anomaly factors raise questions about the independence of a Betting Against Beta factor. |
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