Small-minus-big predicts betting-against-beta: Implications for international equity allocation and market timing
Author:
Affiliation:
1. Montpellier Business School, France; Poznan University of Economics and Business, Poland
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance,Accounting
Link
https://www.tandfonline.com/doi/pdf/10.1080/10293523.2020.1826125
Reference62 articles.
1. Asset pricing and the bid-ask spread
2. The Cross-Section of Volatility and Expected Returns
3. AQR. (2018). AQR Data Library. https://www.aqr.com/Insights/Datasets/Betting-Against-Beta-Equity-Factors-Monthly.
4. Arnott, R. D., Clements, M., Kalesnik, V. & Linnainmaa, J. T. (2019). Factor momentum. Available at SSRN: https://ssrn.com/abstract=3116974 or http://dx.doi.org/10.2139/ssrn.3116974.
5. Arnott, R. D., Beck, N. & Kalesnik, V. (2016). Timing “smart beta” strategies? Of course! Buy low, sell high!. Available at SSRN: https://ssrn.com/abstract=3040956 or http://dx.doi.org/10.2139/ssrn.3040956.
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