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What is Reevaluating Betting Against Beta Strategies about?

The paper critiques the Betting Against Beta (BAB) strategy, highlighting that its high backtesting returns are influenced by unrealistic portfolio construction methods, such as rank weighting and non-standard beta estimation. It introduces a related strategy, Betting Against Alpha and Beta (BAAB), which shows a significantly higher Sharpe ratio compared to the market. The findings suggest that BAB

Author

Abhijeet

Language

EN