Betting against betting against beta

Frazzini and Pedersen’s (2014) Betting Against Beta (BAB) factor is based on the same basic idea as Blacks’(1972) beta-arbitrage, but its astonishing performance has generated academic interest and made it highly influential with practitioners. This performance is driven by non-standard procedures u...

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Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial economics 2022-01, Vol.143 (1), p.80-106
Hauptverfasser:	Novy-Marx, Robert, Velikov, Mihail
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Beta-arbitrage Capitalization Defensive equity Factor models Investors Non-standard methods Profitability Stocks Transaction costs
Online-Zugang:	Volltext
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