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.


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).


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


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