| dc.description.abstract | Extensive research indicates the existence of a beta anomaly across international markets
and various asset classes. However, the mechanisms driving the anomaly and the feasibility
of profitably exploiting it have been heavily debated. This thesis provides compelling
evidence of the existence of a beta anomaly in the Nordic markets, with the results being
robust to controlling for the size, value and momentum factors. Furthermore, our findings
from implementing Frazzini and Pedersen’s (2014) Betting against beta strategy among
larger companies indicate that the anomaly can be profitably exploited.
By analyzing the relation between correlation and return, we investigate whether systematic
risk can be identified as a driver of the anomaly. However, we do not find any conclusive
evidence supporting this. While a strategy that bets against correlation yields positive
Fama-French three-factor alpha, these results are not robust to controlling for momentum.
This pattern persists across all versions of the strategies we implement in our study. In
summary, despite indications of an exploitable beta anomaly, conclusive evidence of a
systematic component behind it remains elusive. | en_US |
