Betting against Beta in the Taiwan Market
碩士 === 國立中央大學 === 財務金融學系在職專班 === 106 === Recently, empirical studies have found beta anomaly from different markets and have inspired the studies on Betting against Beta (BAB) strategy. Frazzini and Pedersen (2014) proposed a BAB strategy by “longing the low-beta assets and shorting the high-beta on...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/5xtkzr |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系在職專班 === 106 === Recently, empirical studies have found beta anomaly from different markets and have inspired the studies on Betting against Beta (BAB) strategy. Frazzini and Pedersen (2014) proposed a BAB strategy by “longing the low-beta assets and shorting the high-beta ones” to earn positive excess returns. We adopt the data in the Taiwan market from Taiwan Economic Journal, to examine whether there is Beta anomaly in the Taiwan market or not. We further construct the BAB strategy, to examine whether the BAB strategy would earns positive returns or not. We find that it would earns positive returns in the data of Top 50 companies and it is no enough evidence that earns positive returns in Top 51-150 companies.
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