Betting against beta

Journal of Financial Economics

Volumn 111, Issue 1, 2014, Pages 1-25

  Frazzini, Andrea ^a   Pedersen, Lasse Heje ^a,b,c,d,e  

^a AQR Capital Management   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c Copenhagen Business School ^*  (Denmark)

^d CEPR   (United Kingdom)

^e NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Asset prices; Beta; CAPM; G01; G11; G12; G14; G15; Leverage constraints; Liquidity; Margin requirements

Indexed keywords

EID: 84888319430     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2013.10.005     Document Type: Article

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