The low-risk anomaly
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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Is there a low-risk anomaly in the UAE stock market?
... the low-risk anomaly in the UAE stock ...of risk (total volatility, stock market beta, idiosyncratic risk, and ...the low-risk anomaly in the UAE stock ...on ...
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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 ...
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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 ...
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Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation and the Low Risk Anomaly
... the risk of equity—which, of course, is theoretically ...The low risk anomaly is actually a bit stronger within banks than other ...than low-beta banks, even on a raw basis, and even in ...
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Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low Risk Anomaly
... too low and debt is risky, their betas have further to ...the risk with ...sharing risk with ...integrated low risk anomaly in corporate debt, to the extent it is present it also ...
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Would Stricter Capital Requirements Raise the Cost of Capital? Bank Capital Regulation and the Low Risk Anomaly 1
... equity risk, this in turn puts the low risk anomaly into ...lower risk banks have the same or higher returns than higher risk ...between risk and return, we find that a ...
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Risk Anomaly: A Review of Literature
... superior risk adjusted performance of Low Volatility (LV) and Minimum Variance (MV) investment strategies compared to benchmark as well as high risk have raised questions about direction and degree ...
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The Risk Anomaly Tradeoff of Leverage *
... the low risk stock portfolio, while it ‘should be’ ...and low risk stocks, there is otherwise little evidence of a common low risk anomaly across debt and equity ...the ...
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The Low Beta Anomaly: A Decomposition into Micro and Macro Effects
... higher risk. Despite the intuitive appeal of a positive risk-return relationship, this pattern has been surprisingly hard to find in the data, dating at least to Black ...of low risk stocks ...
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Low volatility anomaly and mutual fund allocations - Evidence from the U.S.
... the low risk anomaly could be inefficient decentralized investment approach that is often used in the investment industry, argue Blitz and van Vliet ...managers’ risk appetites increasing the ...
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Keywords: risk anomaly, pharmaceutical sector, stock market, volatility portfolios, risk-adjusted returns
... as risk- adjusted returns consistently over other stocks, thus promising to be a prudent choice for risk-averse investors with a broad investment ...of low volatility stocks portfolio consistently ...
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Returns to Low Risk Investment Strategy
... Keywords: low risk anomaly, volatility effect, idiosyncratic risk, market efficiency, ...of risk or deliver a certain level of return for lower ...high risk to earn higher ...
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Global Low Volatility Anomaly
... Past performance is no guarantee of future results. All material has been obtained from sources believed to be reliable, but its accuracy, completeness and interpretation cannot be guaranteed. This information does not ...
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The Accrual Anomaly: Risk or Mispricing?
... the low CMA loading portfolios should be positive whereas the intercepts of the high CMA loading portfolios should be ...nine low CMA loading portfolios produce positive intercepts, and eight out of the ...
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The Risk Anomaly Tradeoff of Leverage
... The low risk stock portfolio is much more exposed to government bond returns than is the high risk stock ...the risk anomaly in stocks, ...the low risk stock portfolio, ...
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The Low Beta Anomaly and Estimation Interval
... 5-Year Annual 5-Year Annual 3-Year Annual While the conclusions of this study are limited in scope, it nevertheless contributes to the discussion of the quantification of the relationship between risk and return. ...
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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!
... of these findings among different industries, and find different volatility patterns across industries using a 10-industry classification. In this paper we focus on evaluating the persistence of the LVA across ...
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THE LOW-VOLATILITY ANOMALY: Does It Work In Practice?
... the risk/risk return profile of optimal ...minimum risk portfolios peak at about 11% and the risk reduction the fund provided was ...SPLV’s risk-adjusted returns have proven to be ...
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