A Study Of The Low Beta Anomaly On The Swedish Stock Market
(2019) NEKH02 20182Department of Economics
- Abstract
- This paper examines the low beta anomaly and its possible presence on the Swedish stock market. It also investigates if it is possible to apply a low-beta investment strategy in order to exploit the anomaly. The findings of the paper indicate that the low-beta anomaly is present on the Swedish market and that it persists when controlling for the Fama-French factors. The result indicates that it might be possible to use historical data to create an investment strategy and through this reach a higher return than the market. However, other risk factors may be included in the portfolio return that the Fama-French model does not capture. When considering only the Fama-French risk factors the alpha is significant, but there might be another... (More)
- This paper examines the low beta anomaly and its possible presence on the Swedish stock market. It also investigates if it is possible to apply a low-beta investment strategy in order to exploit the anomaly. The findings of the paper indicate that the low-beta anomaly is present on the Swedish market and that it persists when controlling for the Fama-French factors. The result indicates that it might be possible to use historical data to create an investment strategy and through this reach a higher return than the market. However, other risk factors may be included in the portfolio return that the Fama-French model does not capture. When considering only the Fama-French risk factors the alpha is significant, but there might be another model that fits better and would give us a different result. The transaction costs are not accounted for, which limits the possibility to draw the conclusion that this result is applicable empirically as an investment strategy. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8967154
- author
- Nilsson, Olivia LU
- supervisor
- organization
- course
- NEKH02 20182
- year
- 2019
- type
- M2 - Bachelor Degree
- subject
- keywords
- Low-beta anomaly, Portfolio theory, Market efficiency, Fama-French
- language
- English
- id
- 8967154
- date added to LUP
- 2019-02-15 14:53:16
- date last changed
- 2019-02-15 14:53:16
@misc{8967154, abstract = {{This paper examines the low beta anomaly and its possible presence on the Swedish stock market. It also investigates if it is possible to apply a low-beta investment strategy in order to exploit the anomaly. The findings of the paper indicate that the low-beta anomaly is present on the Swedish market and that it persists when controlling for the Fama-French factors. The result indicates that it might be possible to use historical data to create an investment strategy and through this reach a higher return than the market. However, other risk factors may be included in the portfolio return that the Fama-French model does not capture. When considering only the Fama-French risk factors the alpha is significant, but there might be another model that fits better and would give us a different result. The transaction costs are not accounted for, which limits the possibility to draw the conclusion that this result is applicable empirically as an investment strategy.}}, author = {{Nilsson, Olivia}}, language = {{eng}}, note = {{Student Paper}}, title = {{A Study Of The Low Beta Anomaly On The Swedish Stock Market}}, year = {{2019}}, }