Pitfalls of the Betting-Against-Beta Strategy in Norway

Abstract

In this master thesis, we study the Betting Against Beta strategy in the Norwegian market between 1983 and 2019. We study the drivers of return and evaluate whether investors can pro t from the strategy. We nd that the main driver of return is overweighting of small stocks in the low-beta portfolio, which in turn is utilized by an unconventional hedging method. We conclude that, in practice, investors are not able to pro t from the strategy in Norway.