Add to ORKGLow beta stocks have offered a combination of low risk and high returns. We decompose the anomaly into micro and macro components. The micro component comes from the selection of low beta stocks. The macro component comes from the selection of low beta countries or industries. The two parts both contribute to the low beta anomaly, with important implications for the construction of managed volatility portfolios
This thesis is based on the findings of Liu (2018), and therefore considers long-short, zero cost po...
http://www.hec.fr/hec/fr/professeurs_recherche/upload/cahiers/CR829Franzoni.pdfThis paper finds that...
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These ...
This paper explains the size and value "anomalies" in stock returns using an economically motivated ...
Thesis (M.Com. (Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management,...
The objective of my thesis is to study the cause for the low beta anomaly, which is an observation t...
Over the past 41 years, high volatility and high beta stocks have substantially underperformed low v...
The ‘low-volatility anomaly’ is the counter-intuitive observation that portfolios of low-volatility ...
Modern portfolio theory states that investments with greater beta, a common measure of risk, require...
The beta anomaly, known as high (low) beta stocks always produce low (high) abnormal returns, is one...
In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared t...
This paper confirms the beta anomaly within the S&P 500 stock universe, the pattern, that CAPM alpha...
This paper finds that the market betas of value and small stocks have decreased by about 75 % in the...
Low-risk investing refers to a diverse collection of investment strategies that emphasize low-beta,...
This paper examines the existence of a low-risk anomaly in the asset class of commodity futures. Us...
This thesis is based on the findings of Liu (2018), and therefore considers long-short, zero cost po...
http://www.hec.fr/hec/fr/professeurs_recherche/upload/cahiers/CR829Franzoni.pdfThis paper finds that...
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These ...
This paper explains the size and value "anomalies" in stock returns using an economically motivated ...
Thesis (M.Com. (Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management,...
The objective of my thesis is to study the cause for the low beta anomaly, which is an observation t...
Over the past 41 years, high volatility and high beta stocks have substantially underperformed low v...
The ‘low-volatility anomaly’ is the counter-intuitive observation that portfolios of low-volatility ...
Modern portfolio theory states that investments with greater beta, a common measure of risk, require...
The beta anomaly, known as high (low) beta stocks always produce low (high) abnormal returns, is one...
In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared t...
This paper confirms the beta anomaly within the S&P 500 stock universe, the pattern, that CAPM alpha...
This paper finds that the market betas of value and small stocks have decreased by about 75 % in the...
Low-risk investing refers to a diverse collection of investment strategies that emphasize low-beta,...
This paper examines the existence of a low-risk anomaly in the asset class of commodity futures. Us...
This thesis is based on the findings of Liu (2018), and therefore considers long-short, zero cost po...
http://www.hec.fr/hec/fr/professeurs_recherche/upload/cahiers/CR829Franzoni.pdfThis paper finds that...
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These ...