Betting against correlation: Testing theories of the low-risk effect-Reference-Cited by-同舟云学术

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Betting against correlation: Testing theories of the low-risk effect

Published:2020-03 Issue:3 Volume:135 Page:629-652
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Asness Cliff,Frazzini Andrea,Gormsen Niels Joachim,Pedersen Lasse Heje

Funder

Danmarks Grundforskningsfond

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference40 articles.

1. Financial intermediaries and the cross-section of stock returns;Adrian;J. Financ.,2014

2. The cross-section of volatility and expected returns;Ang;J. Financ.,2006

3. High idiosyncratic volatility and low returns: international and further US evidence;Ang;J. Financ. Econ.,2009

4. The devil in HML's details;Asness;J. Portf. Manag.,2013

5. Low-risk investing without industry bets;Asness;Financ. Anal. J.,2014

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