Stochastic portfolio theory and the low beta anomaly
Author:
Affiliation:
1. College of Business, Finance, Florida Atlantic University, Boca Raton, FL, USA
2. Independent
3. Gabelli School of Business, Finance and Business Economics Area, Fordham University, New York, NY, USA
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2018.1531901
Reference19 articles.
1. Chicken Little Gets It Wrong Again
2. The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
3. The Cross-Section of Volatility and Expected Returns
4. High idiosyncratic volatility and low returns: International and further U.S. evidence
5. Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
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