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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

Masterarbeit, 2017

58 Seiten, Note: 1,7

Mark Matern (Autor:in)

Leseprobe

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

Ende der Leseprobe aus 58 Seiten

Details

Titel: An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective
Hochschule: Universität Mannheim
Note: 1,7
Autor: Mark Matern (Autor:in)
Jahr: 2017
Seiten: 58
Katalognummer: V413290
ISBN (eBook): 9783668642263
ISBN (Buch): 9783668642270
Dateigröße: 874 KB
Sprache: Englisch
Schlagworte: analysis, beta, anomaly, idiosyncratic, volatility

Arbeit zitieren: Mark Matern (Autor:in), 2017, An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective, München, GRIN Verlag, https://www.grin.com/document/413290

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