Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130231
Authors: 
Cici, Gjergji
Gibson, Scott
Rosenfeld, Claire
Year of Publication: 
2015
Series/Report no.: 
CFR Working Paper 16-01
Abstract: 
This paper investigates investment strategies that exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the investment portfolio. Our empirical results for US large-cap stocks show that this choice is very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. We also show that investment strategies based on betas have a natural-hedge component and a market-timing component due to the stochastic variation of betas. We construct indicators to exploit the market-timing component and show that they have substantial predictive power for future market returns. Corresponding market-timing strategies deliver large positive excess returns and high Sharpe ratios.
Subjects: 
cross-ownership
institutional ownership
active investment
credit market interactions
syndicated lending
JEL: 
D22
G21
G23
G30
Document Type: 
Working Paper

Files in This Item:
File
Size
854.29 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.