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Betting-Against-Beta is Over
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Betting-Against-Beta is Over

Probably due to post-GFC funding constraints

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Policy Tensor
Mar 04, 2023
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Almost a decade ago, quant researchers at AQR documented the strange fact that the basic model of asset prices simply did not work. The Capital Asset Pricing Model (CAPM) says that assets that covary more with the market should sport higher returns in order to compensate the marginal investor for the greater risk they pose to her balance sheet. Ie, risk…

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