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Data Set

Quality Minus Junk: Factors, Daily

We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.

Data Set

Betting Against Beta: Equity Factors, Daily

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.

Data Set

Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly

We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.

Data Set

Quality Minus Junk: Factors, Monthly

We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.

Data Set

Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly

We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.

Data Set

Betting Against Beta: Equity Factors Data, Monthly

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.

Bibliography

Defensive Equity Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around defensive equity investing.

Working Paper

Time-Varying Leverage Demand and Predictability of Betting-Against-Beta

We test the predictability of betting-against-beta (BAB) strategies and find that they perform better when past market returns have been high.

Working Paper

Betting Against Correlation: Testing Theories of the Low-Risk Effect

What drives the low-risk effect? We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).

Journal Article

The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies

It is puzzling that such straightforward asset pricing anomalies like the well-publicized accruals and asset-growth effects are seemingly overlooked by investors.