The volatility puzzle of the beta anomaly

Published: 10 December 2024| Version 2 | DOI: 10.17632/z2zfxk5xvs.2
Contributors:
Pedro Barroso, Andrew Detzel, Paulo Maio

Description

Replication code and select data for "The volatility puzzle of the beta anomaly," forthcoming at Journal of Financial Economics.

Files

Steps to reproduce

See readme.txt

Institutions

Universidade Catolica Portuguesa Catolica Porto Business School, Baylor University Hankamer School of Business, Hanken Svenska Handelshogskolan Finansiell ekonomi och ekonomisk statistik

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