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dc.contributor.authorRøksund, Jakob
dc.contributor.authorFoss, Mikkel Nymo
dc.date.accessioned2020-11-16T09:55:15Z
dc.date.available2020-11-16T09:55:15Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2687979
dc.descriptionMasteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020en_US
dc.description.abstractAn 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.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinancial economicsen_US
dc.subjectfinanceen_US
dc.subjectfinansen_US
dc.titleReplicating Smart Money - A Derivative-Based Approachen_US
dc.typeMaster thesisen_US


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