Worldwide Research Articles on LV Investing

  • The Cross-Section of Volatility and Expected Returns

Ang, Andrew, Hodrick, Robert J., Xing, Yuhang and Zhang, Xiaoyan, “The Cross-Section of Volatility and Expected Returns” Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract

  • High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

    Ang, Andrew, Hodrick, Robert J., Xing, Yuhang and Zhang, Xiaoyan (2009), “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence” Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008 . Available at SSRN: http://ssrn.com/abstract

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

    Baker, Malcolm P., Bredan Bradley, and Jeffrey A. Wurgler (2010), “Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly” (March 2010), NYU Working Paper No. FIN-10-002. Available at SSRN: http://ssrn.com/abstract

  • Low Risk Stocks Outperform within All Observable Markets of the World

    Baker, Nardin and Robert A. Haugen (2012), “Low Risk Stocks Outperform within All Observable Markets of the World” (April 27, 2012). Available at SSRN: http://ssrn.com/abstract

  • The Volatility Effect: Lower Risk Without Lower Return

    Blitz, David and Pim van Vliet (2007), “The Volatility Effect: Lower Risk Without Lower Return” Journal of Portfolio Management, pp. 102-113, Fall 2007; ERIM Report Series Reference No. ERS-2007-044-F&A. Available at SSRN: http://ssrn.com/

  • The Volatility Effect in Emerging Markets

    Blitz, David, Juan Pang, and Pim van Vliet (2012), “The Volatility Effect in Emerging Markets” (April 10, 2012). Available at SSRN: http://ssrn.com/abstract=2050863

  • Minimum-Variance Portfolios in the US Equity Market

    Clarke, Roger, Harindra de Silva & Steven Thorley (2006), “Minimum-Variance Portfolios in the US Equity Market”, Journal of Portfolio Management, Fall 2006, Vol. 33, No. 1, pp. 10-24. Available at Analytic Website: https://www.aninvestor.com/templates/streammarket.aspx?mm_ID=1406

  • Minimum-Variance Portfolio Composition

    Clarke, R., H. de Silva, and S. Thorley (2011), “Minimum-Variance Portfolio Composition” The Journal of Portfolio Management, Vol. 37, No. 2 (2011) pp. 31-45. http://www.iijournals.com

  • Betting Against Beta

    Frazzini, Andrea and Lasse H. Pedersen (2010), “Betting Against Beta” NBER working paper series. http://www.nber.org/papers/w16601.pdf

  • The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios

    Haugen, Robert and Nardin Baker (1991), “The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios”, Journal of Portfolio Management, vol. 17, No.1, pp. 35-40.

  • Why Low-Volatility Stocks Outperform: Market Evidence on Systematic Risk Versus Mispricing

    Sullivan, Rodney and Xi Li (2010) “Why Low-Volatility Stocks Outperform: Market Evidence on Systematic Risk Versus Mispricing” (December 21, 2010). Available at SSRN:http://ssrn.com/abstract

  • The Limits to Arbitrage Revisited: The Low-Risk Anomaly

    Sullivan, Rodney XI Li, and Luis García-Feijóo (2012) “The Limits to Arbitrage Revisited: The Low-Risk Anomaly” Financial Analysts Journal (February 2012). Available at SSRN:http://ssrn.com/abstract

  • Managed Volatility: A New Approach to Equity Investing

    Thomas, Ric and Robert Shapiro (2009) “Managed Volatility: A New Approach to Equity Investing” Journal of Investing, Spring 2009, Vol. 18, No. 1: pp. 15-23. Available at SSRN:http://www.iijournals.com

  • Is the Relation between Volatility and Expected Stock Returns Positive, Flat or Negative?

    Van Vliet, Pim, David Blitz and Bart Van der Grient (2011), “Is the Relation between Volatility and Expected Stock Returns Positive, Flat or Negative?” (July 2011). Available at SSRN: http://ssrn.com/abstract

  • Benchmarking Low-Volatility Strategies

    Van Vliet, Pim and David Blitz (2011), “Benchmarking Low-Volatility Strategies” Journal of Index Investing, Vol. 2, No. 1, pp. 44-49, 2011. Available at SSRN: http://ssrn.com/abstract

 

 

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