Beta arbitrage strategies in the UK stock market
Pastore, Ilaria (A.A. 2015/2016) Beta arbitrage strategies in the UK stock market. Tesi di Laurea in Equity markets and alternative investments, LUISS Guido Carli, relatore Paolo Vitale, pp. 82. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Literature review. Beta-arbitrage strategy. CoBAR analysis. CoBAR: definition and description. Momentum factor for the UK stock market. Forecasting beta-arbitrage returns. Abnormal returns analysis conditionally on CoBAR. Preticting the security market line (SML).
References
Bibliografia: pp. 46-51.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Equity markets and alternative investments |
| Thesis Supervisor: | Vitale, Paolo |
| Thesis Co-Supervisor: | Morelli, Marco |
| Academic Year: | 2015/2016 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 01 Jun 2017 10:35 |
| Last Modified: | 01 Jun 2017 10:35 |
| URI: | https://tesi.luiss.it/id/eprint/18803 |
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