The low risk anomaly in Spain
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Mostrar el registro completo del ítemcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
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TFG-TFMMetadatos
Título
The low risk anomaly in SpainAutoría
Tutor/Supervisor; Universidad.Departamento
Salvador Aragó, EnriqueFecha de publicación
2022-06-08Editor
Universitat Jaume IResumen
This paper finds the low risk anomaly in the IBEX-35 during January 2002 –
December 2021. This indicates an inverse relationship between risk and return
which is contrary to financial theory. The results are obtained ... [+]
This paper finds the low risk anomaly in the IBEX-35 during January 2002 –
December 2021. This indicates an inverse relationship between risk and return
which is contrary to financial theory. The results are obtained from observing
the monthly returns of listed companies and creating risk-sorted quintile
portfolios which are equally weighted. The methodology used is in line with
existing literature using Sharpe ratio and Jensen’s alpha as performance
metrics.
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Descripción
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2021-2022
Tipo de documento
info:eu-repo/semantics/bachelorThesisDerechos de acceso
info:eu-repo/semantics/openAccess