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Relationship between ‘beta’ and stock returns

Relationship between ‘beta’ and stock returns. Mayur Agrawal Varun Agrawal Debabrata Mohapatra Vikas Yadav. Experimental Setup. N months. K months. Current Time. 1 st Jan 1962. 31 st Dec 2008. Obtain daily fluctuations on beta portfolios.

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Relationship between ‘beta’ and stock returns

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  1. Relationship between ‘beta’ and stock returns Mayur Agrawal Varun Agrawal Debabrata Mohapatra VikasYadav

  2. Experimental Setup N months K months Current Time 1st Jan 1962 31st Dec 2008 • Obtain daily fluctuations on beta portfolios. • Obtain Sharpe ratios after each portfolio readjustment. Default Parameters: N = 60, K = 12, P = 10

  3. Long versus Long-Short Portfolio

  4. PNL Plot for Beta Portfolio

  5. PNL Plot for Long Short Portfolio

  6. Sharpe Ratio for Beta Portfolios

  7. Sharpe Ratio for Long-Short and SnP

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