This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A shares market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama-French style VOL factor is not explained by the Fama-French-Carhart factors, and has the strongest...

The evidence for the existence of a distinct low-volatility effect is mounting. However, implicit exposures to the Fama-French value factor (HML) seem to explain the performance of straightforward U.S. low-volatility strategies since 1963. In this paper I show that the value effect can neither...

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value, momentum and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the factor exposures of US equity ETFs and finds that,...

The low-volatility anomaly is often attributed to limits to arbitrage, such as leverage, short-selling and benchmark constraints. One would therefore expect hedge funds, which are typically not hindered by these constraints, to be the smart money that is able to benefit from the anomaly. This...

Low-risk stocks exhibit higher returns than predicted by established asset pricing models, but this anomaly seems to be explained by the new Fama-French five-factor model, which includes a profitability factor. We argue that this conclusion is premature given the lack of empirical evidence for a...

This paper takes another look at the recommendation of Blitz [2012] to allocate strategically to the value, momentum and low-volatility factor premiums in the equity market. Five years of fresh data shows that such a factor investing strategy continued to deliver out-of-sample. The potential...

We dissect the realized performance of factor-based equity portfolios using a characteristics-based multi-factor return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal because they ignore the possibility that...

We compare the ownership characteristics of tobacco stocks with their peers in the same country and industry group. We find lower reported ownership for stocks in the tobacco industry, which suggests that anonymous investors are larger owners of these sin stocks. Compared to peer stocks, U.S....

Investors tend to focus on harvesting the risk premiums offered by traditional asset classes when making their strategic investment decisions. Some recent papers, however, argue that investors should also consider various other premiums for possible inclusion in the strategic asset allocation....