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Betting against beta & net stock issues (combined ranking)

Combined ranking of:
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.
Net stock issues:
- Growth rates of the split-adjusted shares outstanding at fiscal year end is calculated as in Fama French (2008).
- The strategy shorts stocks with high net stock issues.