Keywords
portfolio, rate of return, risk analysis, return on risk
Abstract
The aim of the study was to identify the low beta anomaly and analyse the causes of its occurrence in five European emerging markets that were components of the MSCI Emerging Markets Europe index in the period 2010–2019. It was hypothesized that the determinants of the low beta anomaly in the analysed markets are factors from at least two of the three categories of variables. Using the Betting Against Beta model proposed by A. Frazzini and L. H. Pedersen (2014), we found that this phenomenon was not identified in three markets, but occurred in the remaining two markets, for which the factors determining its occurrence were then identified, confirming the adopted hypothesis.
Acknowledgments
Funding
The research received no funds.
Declaration of Conflicting Interests
The author declared no potential conflicts of interest with respect to the research, authorship, and publication of the article.
Declaration
The authors did not use an AI tool in the preparation of the article.
Recommended Citation
Winkler-Drews, T., & Mogilski, M. (2025). Low Beta Anomaly in Some European Emerging Markets. Journal of Banking and Financial Economics, 2025(2), 19-41. https://doi.org/10.7172/2353-6845.jbfe.2025.2.2
First Page
19
Last Page
41
Page Count
23
Received Date
11.11.2024
Revised Date
08.07.2025
Accept Date
25.07.2025
Online Available Date
14.08.2025
DOI
10.7172/2353-6845.jbfe.2025.2.2
JEL Code
G110
Publisher
University of Warsaw
