Price noise proves the key to high performing ‘bets against beta’ investment strategies
Published 25 May, 2022
In a study published in the KeAi journal The Journal of Finance and Data Science, Thorsten Lehnert, a professor at the University of Luxembourg's finance department, shows that the strategies’ exposure to non-fundamental price pressure from trading activities of mutual funds explains their success. His analysis is based on more than 30 years of flow data from bond and equity mutual funds and focuses on the US stock market.