The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing-Reference-Cited by-同舟云学术

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The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing

Published:2016-01 Issue:1 Volume:72 Page:36-47
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Li Xi¹,Sullivan Rodney N.²,Garcia-Feijóo Luis³

Affiliation:

1. Xi Li is managing partner at XL Partners, Boston, and an assistant professor at Hong Kong University of Science and Technology.

2. Rodney N. Sullivan, CFA, is vice president at AQR Capital Management, Greenwich, Connecticut.

3. Luis Garcia-Feijóo, CFA, CIPM, is associate professor of finance at Florida Atlantic University, Davie.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v72.n1.6

Reference24 articles.

1. The Cross-Section of Volatility and Expected Returns

2. High idiosyncratic volatility and low returns: International and further U.S. evidence

3. Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly

4. Idiosyncratic Volatility and the Cross Section of Expected Returns

5. Capital Market Equilibrium with Restricted Borrowing

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2. Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation;Pacific-Basin Finance Journal;2023-02

3. Supervised portfolios;Quantitative Finance;2022-09-28

4. Are there multiple independent risk anomalies in the cross section of stock returns?;The Journal of Risk;2022

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