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Volatility Effect: An Application on the German Stock Market
[Efekt nízkého rizika: Aplikace na německý akciový trh]

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  • Jan Bastin

Abstract

The analysis demonstrates parameters of ten portfolios formed by ranking historical risk in the period 1999-2000 on the German stock market. Low volatility portfolios (or low beta portfolios) are able to have similar returns/outperform the market with lower risk. The performances of high volatility portfolios are poor relative to the market. Similar results are present on risk-adjusted basis.

Suggested Citation

  • Jan Bastin, 2015. "Volatility Effect: An Application on the German Stock Market [Efekt nízkého rizika: Aplikace na německý akciový trh]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2015(1), pages 36-54.
    • Handle: RePEc:prg:jnlcfu:v:2015:y:2015:i:1:id:435:p:36-54
    DOI: 10.18267/j.cfuc.435
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    More about this item

    Keywords

    Volatility effect; Anomaly; Risk; Efekt volatility; Anomálie; Riziko;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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