The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects-Reference-Cited by-同舟云学术

The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects

Published:2014-03 Issue:2 Volume:70 Page:43-58
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Baker Malcolm¹,Bradley Brendan²,Taliaferro Ryan³

Affiliation:

1. Malcolm Baker is a professor of finance at Harvard Business School, research associate at the National Bureau of Economic Research, and senior consultant at Acadian Asset Management LLC, Boston.

2. Brendan Bradley is director of portfolio management at Acadian Asset Management LLC, Boston.

3. Ryan Taliaferro is a portfolio manager at Acadian Asset Management LLC, Boston.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v70.n2.2

Reference25 articles.

1. Information costs and home bias: an analysis of US holdings of foreign equities

2. The Cross-Section of Volatility and Expected Returns

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

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

5. Maxing out: Stocks as lotteries and the cross-section of expected returns

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