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

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ArticleThe Low Risk Anomaly: A Decomposition into Micro and Macro Effects

Malcolm P. Baker2013

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Articlegreen2013

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

Malcolm P. Baker · Brendan O. Bradley · Ryan Taliaferro

100 citations·0/0 files stored·Financial Analysts Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1992The Cross-Section of Expected Stock Returns 1997Industry costs of equity 2006The Cross‐Section of Volatility and Expected Returns 1972Capital Market Equilibrium with Restricted Borrowing 1972The capital asset pricing model: Some empirical tests 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS 1991Investor Diversification and International Equity Markets 1998Value versus Growth: The International Evidence

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2013Low-Risk Investing Without Industry Bets 2020Market Stress and Herding: A New Approach to the Cryptocurrency Market 2013Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly 2019The Volatility Effect Revisited 2013Would Stricter Capital Requirements Raise the Cost of Capital? Bank Capital Regulation and the Low Risk Anomaly 2015Liquid Betting against Beta in Dow Jones Industrial Average Stocks

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Details

Year2013

Typearticle

Published2013-01-01

VenueFinancial Analysts Journal

ISSN-L0015-198X

Languageen

Citations100

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2210003

openalex_workW2116852260

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2020Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly

2019Leverage and the Beta Anomaly

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