Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/158007
Authors: 
Korn, Olaf
Kuntz, Laura-Chloé
Year of Publication: 
2017
Series/Report no.: 
CFR Working Paper 15-17 [rev.]
Abstract: 
This paper analyzes trading strategies designed to 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 portfolio. Our empirical results for US stocks show that this choice is very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. The weighting of stocks within the low-beta and high-beta portfolios and the chosen investment universe are essential design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can even become insignificant.
Subjects: 
low-beta anomaly
trading strategies
factor risk premiums
smart beta
JEL: 
G11
G12
G14
Document Type: 
Working Paper

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