Time-varying performance of betting against beta (BAB) and other risk-based anomalies: Evidence from Asia

This study examines the performance of trading strategies based on beta, idiosyncratic volatility (IVOL), MAX (lottery behavior), skewness, and tail risk in five major Asian markets, using data from 1999 to 2021. The most important determinant of cross-sectional differences in strategy premiums is f...

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Bibliographic Details
Published in:	Borsa Istanbul Review
Main Authors:	Sarika Rakhyani, Sanjay Sehgal, Florent Deisting
Format:	Article
Language:	English
Published:	Elsevier 2025-09-01
Subjects:	G1 G4 G11 G12 G14 G15
Online Access:	http://www.sciencedirect.com/science/article/pii/S2214845025000778

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