Statements (22)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
investment strategy
|
| gptkbp:aimsToExploit |
inefficiencies in the risk-return relationship
|
| gptkbp:alsoKnownAs |
gptkb:BAB
|
| gptkbp:citation |
asset management industry
academic finance literature |
| gptkbp:describes |
A strategy that goes long low-beta assets and short high-beta assets.
|
| gptkbp:developedBy |
gptkb:Andrea_Frazzini
gptkb:Antti_Ilmanen gptkb:Lasse_Heje_Pedersen |
| gptkbp:empiricalFinding |
low-beta stocks outperform high-beta stocks on a risk-adjusted basis
|
| https://www.w3.org/2000/01/rdf-schema#label |
Betting Against Beta
|
| gptkbp:influencedBy |
benchmarking
leverage constraints |
| gptkbp:publicationYear |
2014
|
| gptkbp:publishedIn |
gptkb:Journal_of_Financial_Economics
|
| gptkbp:relatedTo |
gptkb:CAPM
factor investing low-volatility anomaly |
| gptkbp:strategy |
long-short equity
|
| gptkbp:usedIn |
quantitative investing
|
| gptkbp:bfsParent |
gptkb:Andrea_Frazzini
|
| gptkbp:bfsLayer |
7
|