The Robustness of Betting Against Beta: Implications of Portfolio Weights and Skewness Risk

Abstract

This thesis examines the robustness of the factors introduced by Frazzini and Pedersen (2014) and Asness et al. (2020) evaluating their performance since 2012. Further, we compare the effects of rank-weighted versus value-weighted portfolios. Lastly, we investigate whether the return of the Betting Against Beta factor could be explained by skewness which is derived from OTM equity options. This analysis aims to provide insights into the robustness, performance, and validity of the Betting Against Beta components.