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Data Set
Betting Against Beta: Equity Factors, Daily
February 29, 2024
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.
Working Paper
What Can Betting Markets Tell Us About Investor Preferences and Beliefs? Implications for Low Risk Anomalies
May 13, 2021
We relate the low risk anomaly in financial markets to the Favorite-Longshot Bias in betting markets and provide novel evidence to both anomalies. Synthesizing the evidence, we study the joint implications from the two settings for a unifying explanation. Rational theories of risk-averse investors with homogeneous beliefs cannot explain the cross-sectional relationship between diversifiable risk and return in betting markets. Rather, we appeal to models of non-traditional preferences or heterogeneous beliefs.
Journal Article
Fact and Fiction About Low-Risk Investing
February 17, 2020
Low-risk investing has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk investing.
Working Paper
Time-Varying Leverage Demand and Predictability of Betting-Against-Beta
June 13, 2018
We test the predictability of betting-against-beta (BAB) strategies and find that they perform better when past market returns have been high.
Journal Article
The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing
January 29, 2016
Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.
Journal Article
Investing in the Asset-Growth Anomaly Across the Globe
December 9, 2015
Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.
White Paper
Are Defensive Stocks Expensive? A Closer Look at Value Spreads
November 20, 2015
Investors have been concerned about the rich valuation of defensive stocks and how that may crimp returns. Using value spreads, we analyze the relative prices of defensive stocks and discuss the difficulties in predicting style returns.
Journal Article
Size Matters, If You Control Your Junk
January 22, 2015
When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.
Bibliography
Defensive Equity Bibliography
May 28, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around defensive equity investing.
Journal Article
Quality Minus Junk
October 9, 2013
We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.