Benchmarks as Limits to Arbitrage : Understanding the Low-Volatility Anomaly

Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by the fact that the typical institutional investor's mandate to beat a fixed benchmark discourages arbitrage activity in both high-alpha, low-beta stocks and low-alpha, high-beta stocks

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Year of publication:	2011
Authors:	Baker, Malcolm
Other Persons:	Bradley, Brendan (contributor) ; Wurgler, Jeffrey (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Arbitrage \| Benchmarking \| CAPM \| Arbitrage Pricing \| Arbitrage pricing \| Theorie \| Theory
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Financial Analysts Journal, Vol. 67, No. 1, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 21, 2011 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013131199