The portfolio beta arbitrage strategy and its application in Taiwan stock market
碩士 === 國立政治大學 === 國際經營與貿易研究所 === 101 === This article examines the theories and methods of beta arbitrage, and considers the returns on market- neutral betting against beta (BAB) factors in Taiwan Stock Exchange (TSE) in during 2003 to 2012. We long low beta portfolios and short sell high beta portf...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/14620460924778616835 |
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