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Over the past 41 years, high volatility and high beta stocks have substantially underperformed low volatility and low beta stocks in U.S. markets. We propose an explanation that combines the average investor's preference for risk and the typical institutional investor’s mandate to maximize the...
Persistent link: https://www.econbiz.de/10013094880
Arguably the most remarkable anomaly in finance is the violation of the risk‐return tradeoff within the stock market: Over the past 40 years, high volatility and high beta stocks in U.S. markets have substantially underperformed low volatility and low beta stocks. We propose an explanation...
Persistent link: https://www.econbiz.de/10013080027
This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to...
Persistent link: https://www.econbiz.de/10013285470
Persistent link: https://www.econbiz.de/10010473427