ACAPM and the Low- β -High-
Hall coefficient anomaly in the low temperature high field phase of Sr3Ru2O7
... effect anomaly that is seen at current levels of purity is the precursor of an even stronger dip toward zero in higher purity samples that might signal the onset of a topologically protected state of some ...
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Global Low Volatility Anomaly
... a low-volatility strategy may also emphasize certain lower volatility securities and sectors ...the low-volatility portfolio, the upper and lower bounds of these limits can be quite ...
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The Low-Risk Anomaly in Credits
... Figure 1 plots the volatility of the excess returns versus their average over the entire research period, as well as over a sub-period that ends in June 2007, thus excluding the turbulent recent years of the subprime ...
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Unsupervised Anomaly Detection of High Dimensional Data with Low Dimensional Embedded Manifold
... faithful low dimensional ...the anomaly detection performance becomes much better compared with the no regularizer or Euclidean distance-based regularizer ...
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Low frequency magnetic variations at the high β Earth bow shock
... Figure 14. Hodographs of the C4 magnetic field in eigenvector co- ordinates for the shock on 3 January 2008 for 14:34:10–14:34:14. 3.4 Observation summary and statistics Our statistics include 22 oblique and ...
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The Low Beta Anomaly and Estimation Interval
... Following the method of Fama and French (1992), security betas were estimated in June of each year. However, in this research, the second pass of the regressions were not run on the averages of the data sorted into ...
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Two Essays on the Low Volatility Anomaly
... This table shows the performance of simulated mutual funds formed on the basis of stock return volatility. To form the simulated funds I first sort all stocks that pass my screens into deciles at the beginning of every ...
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Is the low volatility anomaly still persistent? : it depends!
... 5. Portfolio analysis within industry segmentation In this section, we perform an industry-specific analysis on the LVA. The motivation for this detailed analysis arises since, according to Chou et al. (2012), not only ...
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Is there a low-risk anomaly in the UAE stock market?
... the low-risk anomaly in the UAE stock ...the low-risk anomaly in the UAE stock ...generally low with no strong statistical ...from low- risk securities because of lower expected ...
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The Low Risk Anomaly Evidence from Sweden
... significant low risk anomaly in all market ...their low beta value and extremely bad returns during the financial crisis as well as their significant weights in their portfolios, we believe that this ...
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THE LOW-VOLATILITY ANOMALY: Does It Work In Practice?
... Finally, we determine the overall value of SPLV in a full portfolio context by constructing an efficient frontier with all of the assets available, including the geared ETFs. We do not present the graph because the two ...
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The Low Beta Anomaly: A Decomposition into Micro and Macro Effects
... in low-beta countries: reading down the column, portfolio betas range from ...in high-beta countries, and the range of portfolio betas within this subsample also is large, from ...
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Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
... the anomaly without running into the benchmark limit on ...overweight low-risk ...the anomaly—which, in some sense, is the total capi- talization of the stock market—and is small relative to the ...
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High efficiency in human muscle: an anomaly and an opportunity?
... This high value leads to the intriguing notion that non-cross-bridge energy costs during contraction may be lower in this muscle in a series of working contractions than in single isometric twitches typically used ...
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The Low-Risk Anomaly: Evidence From The Thai Stock Market
... the low-risk anomaly in Thailand and understand the forces that drive the abnormal returns so as to provide insights into if and how market participants can benefit from this ...with low beta also ...
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The Low Price Anomaly and the Intriguing Case of the Polish Stock Market
... Third, Polish investors may potentially display a particular tendency to invest in lottery-like stocks. Kumar (2009), based on data from a major US discount brokerage house, indicated that the strongest preference for ...
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Understanding the low volatility anomaly in the South African equity market
... that high positive investor sentiment implies a high propensity to speculate and vice ...stocks, high volatility stocks, unprofitable stocks, ...stocks, low volatility, profitable stocks, ...
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Low functional β-diversity despite high taxonomic beta-diversity among tropical estuarine fish communities
... with high taxonomic b-diversity, due to marked environmental gradients, the level of functional b-diversity among communities is largely overlooked while it may reveal processes shaping community ...extremely ...
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A New Low Cost β Type High Strength Titanium Alloy with Lower Alloying Percentage for Spring Applications
... elongation is 18%; all indicating a better balance between strength and elongation in comparison to the hot-forged alloy. The decrease in strength and increase in elongation are attributed to the fewer defects and ...
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Is the Accrual Anomaly a Global Anomaly?
... the LOW and HIGH analyst following hedge portfolios exhibit significant abnormal returns relative to the three-factor ...the LOW analyst following hedge portfolio are relatively ...the LOW ...
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