A Study of Beta Portfolio of Stocks Listed on the Taiwan Stock Exchange
碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === That low risk asset will earn high return, contrary to the traditional financial theory, is called low risk anomaly. Frazzini and Pedersen (2014) proposed a betting against beta (BAB) factor. To construct a BAB portfolio, all securities in an asset class are fi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/mc8834 |