Search Results - subject:"Volatility anomaly"

How much does volatility influence stock market returns? : empirical evidence from india

Saraf, Malvika; Kayal, Parthajit - 2022

Persistent link: https://www.econbiz.de/10014226507

Perras, Patrizia J.; Reberger, Alexander; Wagner, Niklas - In: Credit and Capital Markets – Kredit und Kapital 53 (2020) 2, pp. 221-244

The present study conducts two different strategies in order to exploit the low-volatility anomaly in the U.S., the …, the low-volatility anomaly can be explained by trading volume and operating profitability. In the German market, operating … characteristics play a role in explaining the effect. Overall, our findings provide evidence that the low-volatility anomaly still is …

Persistent link: https://www.econbiz.de/10014524038

Profit Persistence and Stock Returns

Gschwandtner, Adelina; Hauser, Michael - 2013

volatility anomaly'. …

Persistent link: https://www.econbiz.de/10010456957

The Smart Beta Indexing Puzzle

Cazalet, Zelia; Grison, Pierre; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

In this article, we consider smart beta indexing, which is an alternative to capitalization-weighted (CW) indexing. In particular, we focus on risk-based (RB) indexing, the aim of which is to capture the equity risk premium more effectively. To achieve this, portfolios are built which are more...

Persistent link: https://www.econbiz.de/10011111866

Profit persistence and stock returns

Gschwandtner, Adelina; Hauser, Michael A. - 2013

volatility anomaly". …

Persistent link: https://www.econbiz.de/10010210263