• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Replicating Smart Money - A Derivative-Based Approach

Røksund, Jakob; Foss, Mikkel Nymo
Master thesis
Thumbnail
Åpne
2601521.pdf (1.877Mb)
Analysis_Thesis04.m (35.19Kb)
data.xlsx (65.06Kb)
Permanent lenke
https://hdl.handle.net/11250/2687979
Utgivelsesdato
2020
Metadata
Vis full innførsel
Samlinger
  • Master of Science [963]
Sammendrag
An option strategy, which writes short-dated out-of-the-money put options on the S&P500, is able to

replicate the risk and return characteristics of broad hedge fund indices. Further, by extending the

Carhart four factor model with this put-writing strategy, we are able to explain the alpha of a factor

which goes long low-beta stocks and shorts high-beta stocks. Traditional risk factor models estimate

annual alphas in the range 6-7% for hedge funds, and 9% for the betting-against-beta factor. Our results

suggest that both hedge funds and betting-against-beta exhibit nonlinear risks which traditional factor

models fail to capture. While betting-against-beta suffer during stressed markets, the quality-minus-junk

portfolio does not have the same crash risk. Our results suggest that the abnormal returns to BAB is

fair compensation for downside risk exposure, while the returns to QMJ remains a puzzle.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020
Utgiver
Handelshøyskolen BI

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit