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Betting Against Beta (after the application of commision & slippage)

Betting against beta:
- Market beta for each stock is estimated using daily returns over the past year.
- The market return is the value-weighted return of all stocks in the sample excluding stocks with a price below $5 and is rebalanced once a month.
- The strategy longs stocks with high beta 30 minutes before the market close and closes the position the next day at the market open.