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An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective

Name: An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective
Price: 27.95 EUR
Availability: InStock
Author: Mark Matern
ISBN: 978-3-668-64227-0

Master's Thesis, 2017

58 Pages, Grade: 1,7

Mark Matern (Author)

Excerpt

I. Table of Contents

II. List of Tables

III. List of Figures

IV. List of Abbreviations
1. Introduction
2. Theoretical Background
3. Empirical Results
3.1 Data and Methodology
3.2 The Beta Anomaly
3.3 Betting-Against-Correlation
3.3.1 BAC Leverage Effects
3.3.2 BAC and Size Effects
3.3.3 BAC and Sentiment Effects
3.4 BAB versus BAI
4. Conclusions

V. Bibliography

VI. Appendices

Excerpt out of 58 pages

Details

Title: An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective
College: University of Mannheim
Grade: 1,7
Author: Mark Matern (Author)
Year: 2017
Pages: 58
Catalog Number: V413290
ISBN (eBook): 9783668642263
ISBN (Book): 9783668642270
File size: 874 KB
Language: English
Keywords: analysis, beta, anomaly, idiosyncratic, volatility

Quote paper: Mark Matern (Author), 2017, An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective, Munich, GRIN Verlag, https://www.grin.com/document/413290

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