Dynamic returns of beta arbitrage

Master thesis English OPEN
Nascimento, Mafalda (2017)
  • Subject: Cobar | Beta strategy | Arbitrage | Anomaly | :Ciências Sociais::Economia e Gestão [Domínio/Área Científica]
    mesheuropmc: food and beverages

This thesis studies the patterns of the abnormal returns of the beta strategy. The topic can be helpful for professional investors, who intend to achieve a better performance in their portfolios. Following the methodology of Lou, Polk, & Huang (2016), the COBAR measure ... View more
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