Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
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DOI: 10.2469/faj.v67.n1.4
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- He, Wei & Su, Zhiwei & Yu, Jianfeng, 2024. "Macroeconomic perceptions, financial constraints, and anomalies," Journal of Financial Economics, Elsevier, vol. 162(C).
- Pantisa Pavabutr & Bin Zhao, 2024. "Do retail investors gamble more during lockdown?," International Review of Finance, International Review of Finance Ltd., vol. 24(4), pages 572-603, December.
- Gábor Neszveda, 2025. "Aspiration level, probability of success, and stock returns: an empirical test," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-29, December.
- Chinco, Alex & Sammon, Marco, 2024. "The passive ownership share is double what you think it is," Journal of Financial Economics, Elsevier, vol. 157(C).
- Tobias Hiller, 2024. "Shapley-based risk rankings: some theoretical considerations," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 71(1), pages 67-74, March.
- Lisa R. Goldberg & Taotao Cai & Ben Schneider, 2024. "A guide to 130/30 loss harvesting," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 445-459, September.
- Dazhi Zheng & Huimin Li & Fengyun Li, 2024. "Capital gain overhang and risk–return trade‐off: An international study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 47(1), pages 211-242, March.
- Bessler, Wolfgang & Taushanov, Georgi & Wolff, Dominik, 2024. "Factor investing and asset allocation strategies: a comparison of factor versus sector optimization," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 149873, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv_v1, Center for Open Science.
- Lee, Deok-Hyeon & Min, Byoung-Kyu & Faff, Robert & Kim, Young-Mee, 2024. "Asymmetry, earnings announcements, and the beta-return relation," Finance Research Letters, Elsevier, vol. 67(PB).
- Malakhov, Alexey & Riley, Timothy B. & Yan, Qing, 2024. "Do hedge funds bet against beta?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1507-1525.
- Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Cristiane Gea & Luciano Vereda & Eduardo Ogasawara, 2024. "Detection of Uncertainty Events in the Brazilian Economic and Financial Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1507-1538, September.
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