Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/158007 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
CFR Working Paper No. 15-17 [rev.]
Versionsangabe: 
Vers. 05/2017
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
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.
Schlagwörter: 
low-beta anomaly
trading strategies
factor risk premiums
smart beta
JEL: 
G11
G12
G14
Dokumentart: 
Working Paper

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