dc.contributor.author |
Han, Xing |
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dc.date.accessioned |
2022-04-19T23:25:32Z |
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dc.date.available |
2022-04-19T23:25:32Z |
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dc.date.issued |
2022-2-21 |
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dc.identifier.citation |
Critical Finance Review 11(1):1-36 21 Feb 2022 |
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dc.identifier.issn |
2164-5744 |
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dc.identifier.uri |
https://hdl.handle.net/2292/58745 |
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dc.description.abstract |
Betting against beta (BAB) can be seen as the combination of three investable component portfolios: Two cross-sectional components exploiting the beta anomaly attributable to stock selection and rank weighting scheme, and one time-series component with a dynamic net-long position due to “beta-parity.” Virtually all superior performance of BAB stems from the time-series component. The two cross-sectional components only provide hedging benefits in market downturns. The time-series component has modest portfolio turnover. Betting against correlation (BAC) yields similar findings, except that the two cross-sectional components in BAC outperform on a risk-adjusted basis. However, this effect arises purely from the positive association between firm size and stock correlation. Excluding micro-cap stocks, the performance of BAC shrinks more than that of BAB. Overall, only the time-series component remains as the robust source for the profits of the BA-type strategies. |
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dc.language |
en |
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dc.publisher |
Now Publishers |
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dc.relation.ispartofseries |
Critical Finance Review |
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dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
|
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
|
dc.rights.uri |
https://www.nowpublishers.com/Home/HomeOAPolicy |
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dc.title |
Understanding the Performance of Components in Betting Against Beta |
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dc.type |
Journal Article |
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dc.identifier.doi |
10.1561/104.00000099 |
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pubs.issue |
1 |
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pubs.begin-page |
1 |
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pubs.volume |
11 |
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dc.date.updated |
2022-03-16T12:15:32Z |
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dc.rights.holder |
Copyright: now publishers inc. |
en |
pubs.end-page |
36 |
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pubs.publication-status |
Published |
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dc.rights.accessrights |
http://purl.org/eprint/accessRights/OpenAccess |
en |
pubs.subtype |
Journal Article |
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pubs.elements-id |
889116 |
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dc.identifier.eissn |
2164-5760 |
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pubs.online-publication-date |
2022 |
|