 Betting against beta with intraday and overnight signalsAlessandra Insana International Review of Financial Analysis, 2023, vol. 86, issue C Abstract: The abnormal returns of the Betting Against Beta (BAB) strategy have attracted much interest among researchers and practitioners. Based on a market anomaly related to the Capital Asset Pricing Model, this strategy uses daily beta as a signal for portfolio construction. However, recent literature shows how some financial quantities, including beta, change between trading and non-trading periods. For this reason, we decided to compare the performance of the original BAB strategy with two BAB variants, where the signal for portfolio construction is given by intraday and overnight beta, respectively. Despite all strategies exhibiting positive cumulative returns, using the intraday beta signal leads to significantly higher performances. Further analyses show that the abnormal intraday BAB returns are mainly due to nano and micro-cap stocks which tend to outperform large-cap stocks, as well known from the literature. Keywords: Beta; Beta overnight; Beta intraday; Betting against beta; Anomalies (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000583 DOI: 10.1016/j.irfa.2023.102542 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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