The Booms and Busts of Beta Arbitrage
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- Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
- Sarika Rakhyani, 2021. "An empirical examination of beta anomaly in India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(2), pages 191-206, June.
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More about this item
Keywords
Betting against beta; Positive-feedback trading; Crowded trades;All these keywords.
JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2016-10-02 (Business Economics)
- NEP-RMG-2016-10-02 (Risk Management)
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