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Low beta high alpha : the new money machine / submitted by Stefan Wolf
VerfasserWolf, Stefan
Betreuer / BetreuerinnenBank, Matthias
ErschienenInnsbruck, August 14, 2018
Umfang73, XXIII Blätter : Illustrationen
HochschulschriftUniversity of Innsbruck, Masterarbeit, 2018
Datum der AbgabeAugust 2018
Schlagwörter (DE)Asset prices / Risk anomaly / Beta anomaly / January effect
Schlagwörter (EN)Asset prices / Risk anomaly / Beta anomaly / January effect
Schlagwörter (GND)Arbitrage-Pricing-Theorie / Risikoverteilung / Volatilität
URNurn:nbn:at:at-ubi:1-23778 Persistent Identifier (URN)
 Das Werk ist frei verfügbar
Low beta high alpha [3.41 mb]Daten [16.26 mb]
Zusammenfassung (Englisch)

This paper confirms the beta anomaly within the S&P 500 stock universe, the pattern, that CAPM alphas are inversely related to CAPM betas. However, the tempting abnormal returns are not available to long-only investors since low-beta equities are priced efficiently. The use of thousands of stocks, done by prominent studies, is suitable for scientific insights but not for practical considerations. By building on the highly liquid S&P 500 Index, I am not able to confirm the existence of significant positive alphas on the low-beta side. Furthermore, evidence is provided, that the beta anomaly shows a strong month-to-month instability. While recent research documents a fading magnitude of the January effect, I observe substantial positive January alphas in the top decile of beta-sorted portfolios but an inverse effect in low-beta stocks.

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