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Keywords: Betting against beta
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2022) 48 (3): 521–539.
Published: 17 January 2022
... Classification Standard (GICS) sectors to construct stock-level and sector-level BAB (Betting Against Beta) and long-only low-risk portfolios. It follows the study of Asness et al. (2014) to construct various BAB portfolios. It applies Fama–French (FF) three-factor and Fama–French–Carhart (FFC) four...
