Search Results - subject:"low volatility anomaly"

The low-volatility anomaly and the adaptive multi-factor model

Jarrow, Robert A.; Murataj, Rinald; Wells, Martin T.; … - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-33

Persistent link: https://www.econbiz.de/10014497298

A closer look at the relationship between firm-specific return variation and stock returns

Nguyen, Ha; Lan, Yihui; Sirimon Treepongkaruna - In: Journal of Accounting Literature 46 (2023) 2, pp. 277-292

idiosyncratic volatility puzzle and the low-volatility anomaly. The authors emphasize the importance of integrating these two …

Persistent link: https://www.econbiz.de/10015348824

The Low-Volatility Anomaly Revisited

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

Three essays on volatility forecasting and forecast evaluation

Kleen, Onno - 2020

Persistent link: https://www.econbiz.de/10012436127

The low-volatility anomaly revisited

Perras, Patrizia Julia; Reberger, Alexander; Wagner, … - In: Credit and capital markets : Kredit und Kapital 53 (2020) 2, pp. 221-244

Persistent link: https://www.econbiz.de/10012510335

Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market

Hsu, Ching-Chi; Wei, An-Pin; Chen, Miao-Ling - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012665989

Stochastic portfolio theory and the low beta anomaly

Agapova, Anna; Ferguson, Robert; Leistikow, Dean - In: The European journal of finance 25 (2019) 5, pp. 415-434

Persistent link: https://www.econbiz.de/10012206986

Profit Persistence and Stock Returns

Gschwandtner, Adelina; Hauser, Michael - 2013

volatility anomaly'. … impact on stock returns and on their volatility even after adjusting for risk. At the same time we bring evidence for a 'low …

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". … impact on stock returns and on their volatility even after adjusting for risk. At the same time we bring evidence for a "low …

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