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SSRN-id980865.pdf

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Preview of SSRN-id980865.pdf
🔗 Source: assets.super.so
📊 Size: 210 KB
👤 Author: David Blitz
⬇️ Downloads: 173

Summary

Stocks with low volatility earn high risk-adjusted returns, with a 12% annual alpha spread between global low and high volatility decile portfolios from 1986-2006, a phenomenon observed in US, European, and Japanese markets, and not explained by value and size effects, suggesting equity investors overpay for risky stocks.

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Stocks with low volatility earn high risk-adjusted returns, with a 12% annual alpha spread between global low and high volatility decile portfolios from...

Technical Information

  • File Format: PDF
  • File Size: 210 KB
  • Pages: 23
  • Language: EN
  • Author: David Blitz
  • Total Downloads: 173
  • Last Updated: 4 hours ago

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