The existence of multiple credit rating agencies (CRAs) and firms' demand for multiple ratings suggests that there must be instances in which CRAs disagree. We investigate whether market-wide and firm-specific measures of uncertainty, private information, systematic risk and credit risk affect...

A low volatility portfolio aims to exploit the fact that, in the long run, low-risk stocks yield higher risk-adjusted returns than higher-risk stocks. But the low volatility portfolio’s lower beta – via the allocation effect – may drag down returns at times. We dissect the performance into...