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The Low Risk Anomaly: A Decomposition into Micro and Macro Effects
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The Low Risk Anomaly: A Decomposition into Micro and Macro Effects (2013)The Low Risk Anomaly: A Decomposition int…Betting against beta (2013)Betting against betaMaxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Information costs and home bias: an analysis of US holdings of foreign equities (2004)Information costs and home bi…What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Industry costs of equity (1997)Industry costs of equityThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Investor Diversification and International Equity Markets (1991)Investor Diversification and …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Market Stress and Herding: A New Approach to the Cryptocurrency Market (2020)Market Stress and Herding: A …Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly (2020)Beta herding through overconf…The Volatility Effect Revisited (2019)The Volatility Effect Revisit…Leverage and the Beta Anomaly (2019)Leverage and the Beta AnomalyLiquid Betting against Beta in Dow Jones Industrial Average Stocks (2015)Liquid Betting against Beta i…Would Stricter Capital Requirements Raise the Cost of Capital? Bank Capital Regulation and the Low Risk Anomaly (2013)Would Stricter Capital Requir…Low-Risk Investing Without Industry Bets (2013)Low-Risk Investing Without In…Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly (2013)Do Strict Capital Requirement…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)The arbitrage theory of capital asset pricing (1976)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1997Industry costs of equity5,793 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2013Betting against beta2,027 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited

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  • 2004Information costs and home bias: an analysis of US holdings of foreign equities816 cited
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    • 2013Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly56 cited
    • 2019The Volatility Effect Revisited50 cited
    • 2013Would Stricter Capital Requirements Raise the Cost of Capital? Bank Capital Regulation and the Low Risk Anomaly46 cited
    • 2015Liquid Betting against Beta in Dow Jones Industrial Average Stocks42 cited
    • 2020Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly39 cited
    • 2019Leverage and the Beta Anomaly36 cited