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Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles

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Cited by:

  1. Paul Schneider & Christian Wagner & Josef Zechner, 2020. "Low‐Risk Anomalies?," Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
  2. Blitz, David & Vidojevic, Milan, 2017. "The profitability of low-volatility," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 33-42.
  3. Wang, Wenzhao, 2020. "Institutional investor sentiment, beta, and stock returns," Finance Research Letters, Elsevier, vol. 37(C).
  4. David Blitz, 2014. "Agency†Based Asset Pricing and the Beta Anomaly," European Financial Management, European Financial Management Association, vol. 20(4), pages 770-801, September.
  5. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
  6. Blitz, David & Huisman, Rob & Swinkels, Laurens & van Vliet, Pim, 2020. "Media attention and the volatility effect," Finance Research Letters, Elsevier, vol. 36(C).
  7. Malcolm Baker & Terence C. Burnham & Ryan Taliaferro, 2016. "Public Goods with Punishment & Payment for Relative Rank," Working Papers 16-33, Chapman University, Economic Science Institute.
  8. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
  9. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
  10. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, February.
  11. Alankar, Ashwin & Blausten, Peter & Scholes, Myron S., 2013. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers 2135, Stanford University, Graduate School of Business.
  12. Laurens Swinkels & David Blitz & Winfried Hallerbach & Pim Vliet, 2018. "Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(4), pages 633-652, October.
  13. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  14. Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
  15. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, vol. 46(PB).
  16. Ma, Tianyi & Tee, Kai-Hong & Li, Baibing, 2022. "Timing the volatility risk of beta anomaly: Evidence from hedge fund strategies," International Review of Financial Analysis, Elsevier, vol. 81(C).
  17. Mehmet F. Dicle & Kendra Reed, 2019. "Asymmetric return response to expected risk: policy implications," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 27(3), pages 345-356, June.
  18. Wei Jiao, 2020. "Portfolio manager home‐country culture and mutual fund risk‐taking," Financial Management, Financial Management Association International, vol. 49(3), pages 805-838, September.
  19. Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
  20. Steven D. Moffitt, 2018. "Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists," Papers 1801.01948, arXiv.org.
  21. Massimo Guidolin & Manuela Pedio & Dimos Andronoudis, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  22. Jordan, Bradford D. & Riley, Timothy B., 2015. "Volatility and mutual fund manager skill," Journal of Financial Economics, Elsevier, vol. 118(2), pages 289-298.
  23. Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
  24. Wan-Ni Lai & Yi-Ting Chen & Edward W. Sun, 2021. "Comonotonicity and low volatility effect," Annals of Operations Research, Springer, vol. 299(1), pages 1057-1099, April.
  25. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
  26. Kolokolova, Olga & Xu, Xia, 2024. "Enhancing betting against beta with stochastic dominance," Journal of Empirical Finance, Elsevier, vol. 76(C).
  27. Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
  28. Malvika Saraf & Parthajit Kayal, 2022. "How Much Does Volatility Influence Stock Market Returns? – Empirical Evidence from India," Working Papers 2022-215, Madras School of Economics,Chennai,India.
  29. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
  30. Russell P. Robins & Geoffrey Peter Smith, 2020. "Selection bias and pseudo discoveries on the constancy of stock return anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1407-1426, November.
  31. Cyril Bachelard & Apostolos Chalkis & Vissarion Fisikopoulos & Elias Tsigaridas, 2023. "Randomized geometric tools for anomaly detection in stock markets," Post-Print hal-04223511, HAL.
  32. Cyril Bachelard & Apostolos Chalkis & Vissarion Fisikopoulos & Elias Tsigaridas, 2022. "Randomized geometric tools for anomaly detection in stock markets," Papers 2205.03852, arXiv.org, revised May 2022.
  33. David Blitz & Matthias X. Hanauer & Pim Vliet, 2021. "The Volatility Effect in China," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 338-349, September.
  34. S. Ciliberti & Y. Lemp'eri`ere & A. Beveratos & G. Simon & L. Laloux & M. Potters & J. P. Bouchaud, 2015. "Deconstructing the Low-Vol Anomaly," Papers 1510.01679, arXiv.org, revised Oct 2015.
  35. Blitz, David & Pang, Juan & van Vliet, Pim, 2013. "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 31-45.
  36. Javier Estrada, 2023. "Multifactor funds: an early (bearish) assessment," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 299-311, July.
  37. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
  38. Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
  39. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
  40. 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.
  41. Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR), revised 2017.
  42. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
  43. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  44. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
  45. Burggraf, Tobias & Rudolf, Markus, 2021. "Cryptocurrencies and the low volatility anomaly," Finance Research Letters, Elsevier, vol. 40(C).
  46. Rumford, Max, 2021. "Robotik im Anlagevermögen: Algorithmenbasiertes Handeln in der Versicherungsbranche," Arbeitspapiere der FOM 77, FOM Hochschule für Oekonomie & Management.
  47. Wilhelm Berghorn & Martin T. Schulz & Markus Vogl & Sascha Otto, 2021. "Trend Momentum II: Driving Forces of Low Volatility and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 300-319, May.
  48. Jeffrey Wurgler, 2010. "On the Economic Consequences of Index-Linked Investing," NBER Working Papers 16376, National Bureau of Economic Research, Inc.
  49. Zhihui Lv & Amanda M. Y. Chu & Wing Keung Wong & Thomas C. Chiang, 2021. "The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio," Risk Management, Palgrave Macmillan, vol. 23(1), pages 97-122, June.
  50. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
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