Beta Anomalies in Scandinavian Financial Markets

dc.contributor.author	Sellathurai, Jinoorthan
dc.contributor.author	Rognsvåg, Simen Henmo
dc.date.accessioned	2022-12-20T08:40:56Z
dc.date.available	2022-12-20T08:40:56Z
dc.date.issued	2022
dc.identifier.uri	https://hdl.handle.net/11250/3038725
dc.description	Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2022	en_US
dc.description.abstract	In 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.iso	eng	en_US
dc.publisher	Handelshøyskolen BI	en_US
dc.subject	finans finance	en_US
dc.title	Beta Anomalies in Scandinavian Financial Markets	en_US
dc.type	Master thesis	en_US