Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly-Reference-Cited by-同舟云学术

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

Published:2011-01 Issue:1 Volume:67 Page:40-54
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Baker Malcolm¹,Bradley Brendan²,Wurgler Jeffrey³

Affiliation:

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

2. Brendan Bradley is director of managed volatility strategies at Acadian Asset Management, Boston.

3. Jeffrey Wurgler is professor of finance at New York University Stern School of Business, research associate at the National Bureau of Economic Research, and senior consultant at Acadian Asset Management, Boston.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v67.n1.4

Reference32 articles.

1. The Cross-Section of Volatility and Expected Returns

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

3. Investor Sentiment in the Stock Market

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