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Beta-arbitrage strategies: when do they work, and why?

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  • Gianluca Oderda
  • Tony Berrada
  • Reda Jurg Messikh
  • Olivier Pictet

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Suggested Citation

  • Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet, 2015. "Beta-arbitrage strategies: when do they work, and why?," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 185-203, February.
    • Handle: RePEc:taf:quantf:v:15:y:2015:i:2:p:185-203
    DOI: 10.1080/14697688.2014.938446
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    References listed on IDEAS

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    1. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
    2. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
    3. Fernholz, Robert, 1999. "On the diversity of equity markets," Journal of Mathematical Economics, Elsevier, vol. 31(3), pages 393-417, April.
    4. Malkiel, Burton G, 1995. "Returns from Investing in Equity Mutual Funds 1971 to 1991," Journal of Finance, American Finance Association, vol. 50(2), pages 549-572, June.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Cited by:

    1. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.

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