Layers of Low Beta
February 28, 2013 - Volatility Effects
Do low-beta equity strategies work differently for industries and countries compared to individual stocks? In their January 2013 paper entitled “The Low Risk Anomaly: A Decomposition into Micro and Macro Effects”, Malcolm Baker, Brendan Bradley and Ryan Taliaferro decompose the low-beta anomaly into individual stock (micro) and industry/country (macro) components. To study individual stock versus industry… Keep Reading