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dc.contributor.authorSellathurai, Jinoorthan
dc.contributor.authorRognsvåg, Simen Henmo
dc.date.accessioned2022-12-20T08:40:56Z
dc.date.available2022-12-20T08:40:56Z
dc.date.issued2022
dc.identifier.urihttps://hdl.handle.net/11250/3038725
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2022en_US
dc.description.abstractIn our master thesis, we build upon the works of Pedersen and Frazzini to study the beta anomaly. We first replicate their method for constructing the BAB factors in Norway, Sweden, and Denmark. Then we adjust our assumptions to account for criticism the original paper has gotten over the years. We find results that indicate the existence of the proposed beta anomaly, however primarily for stocks above a certain level of market capitalisation. We conclude that the difference between lowbeta alpha and high-beta alpha is generally insignificant, but investors can profit from the betting against beta strategy in Norway and Sweden, but not Denmark.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinans financeen_US
dc.titleBeta Anomalies in Scandinavian Financial Marketsen_US
dc.typeMaster thesisen_US


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