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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Betting against Beta: Empirical Evidence from Switzerland and USA |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 73 |
| Date | 2022 |
| Abstract Text | The BAB strategy exploits the failure of the CAPM and has been shown to achieve risk-adjusted returns. Based on previous studies, the performance is induced by using unconventional procedures leading to mis-hedging and overweighting small-capitalized stocks, posing implementation issues. Nevertheless, a granular approach beyond the initial computation delivers a feasible volatilitymanaged BAB strategy based on value-weighted portfolios that achieves risk-adjusted returns in the USA and Switzerland. Furthermore, relative benchmark performance measures of institutions contribute to the anomaly, while lottery demand partially explains abnormal returns conditional on volatility only in Switzerland, suggesting that the beta anomalies’ explanations can differ between markets. |
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