publication . Research . 2015

Low-beta investment strategies

Korn, Olaf; Kuntz, Laura-Chloé;
Open Access English
  • Published: 01 Jan 2015
  • Publisher: Centre for Financial Research Cologne
This paper investigates investment strategies that exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the investment portfolio. Our empirical results for US large-cap stocks show that this choice is very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. We also show that investment strategies based on betas have a natural-hedge component and a market-timing component due to the stochastic variation of betas. We construct ind...
Medical Subject Headings: health care economics and organizations
free text keywords: G11, G14, G17, low-beta anomaly, investment strategies, market timing, ddc:330
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Research . 2015
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