Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10011602959
Standard risk management approaches fail to consider parameter uncertainty, which has led to improper risk management. Blind faith in parameter estimates has too often led to blind faith in the resulting VAR outputs, and when these estimates are too often exceeded the proposed solution is...
Persistent link: https://www.econbiz.de/10013008923
Persistent link: https://www.econbiz.de/10009763924
Persistent link: https://www.econbiz.de/10003830424
Persistent link: https://www.econbiz.de/10011416975
Using a global equity dataset that includes emerging markets, we confirm that high-volatility stocks tend to deliver low average returns; this effect is robust to adjustments for country and style factors. We also show that sell-side analysts earnings growth forecasts for high-volatility stocks...
Persistent link: https://www.econbiz.de/10013008114
Using a global equity dataset that includes emerging markets, we confirm that high-volatility stocks tend to deliver low average returns; this effect is robust to adjustments for for country and style factors. We also show that sell-side analysts earnings growth forecasts for high-volatility...
Persistent link: https://www.econbiz.de/10013080563
In this study, the authors examine the hypothetical performance of various low volatility strategies in historical U.S., global developed, and emerging markets. The strategies we replicated outperformed cap-weighted market indices due to exposure to the value, BAB (betting against beta), and...
Persistent link: https://www.econbiz.de/10013007356