SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Low Risk Stocks Outperform within All Observable Markets of the World
14 references·16 citing·36 second hop
Low Risk Stocks Outperform within All Observable Markets of the World (2012)Low Risk Stocks Outperform within All Obs…The Volatility Effect in Emerging Markets (2012)The Volatility Effect in Emer…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Volatility Effect (2007)The Volatility EffectThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Volatility and the Institutional Investor (1996)Volatility and the Institutio…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…The efficient market inefficiency of capitalization–weighted stock portfolios (1991)The efficient market ineffici…Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles (1975)Risk and the Rate of Return o…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…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…Five Concerns with the Five-Factor Model (2018)Five Concerns with the Five-F…Does the application of smart beta strategies enhance portfolio performance? The case of Islamic equity investments (2018)Does the application of smart…The profitability of low-volatility (2017)The profitability of low-vola…Is there momentum in factor premia? Evidence from international equity markets (2017)Is there momentum in factor p…Anomalies in Chinese A-Shares (2017)Anomalies in Chinese A-SharesValue, Size, Momentum, Dividend Yield, and Volatility in China’s A-Share Market (2015)Value, Size, Momentum, Divide…Is there a low-risk anomaly across countries? (2015)Is there a low-risk anomaly a…Momentum returns and information uncertainty: Evidence from China (2014)Momentum returns and informat…Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets (2014)Low-Risk Anomalies in Global …Explanations for the Volatility Effect: An OverviewBased on the CAPM Assumptions (2014)Explanations for the Volatili…Volatility and Mutual Fund Manager Skill (2013)Volatility and Mutual Fund Ma…The Low Risk Anomaly: A Decomposition into Micro and Macro Effects (2013)The Low Risk Anomaly: A Decom…The high returns to low volatility stocks are actually a premium on high quality firms (2013)The high returns to low volat…Low-Risk Investing Without Industry Bets (2013)Low-Risk Investing Without In…Portfolio Selection: Efficient Diversification of Investments. (1962)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)International portfolio diversification benefits: Cross-country evidence from a local perspective (2007)Portfolio Selection With Robust Estimation (2007)Vast Portfolio Selection With Gross-Exposure Constraints (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (1997)What Drives Firm‐Level Stock Returns? (2002)Replicating Anomalies (2018)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)Portfolio Selection (1952)Variance vs downside risk: Is there really that much difference? (1999)Large Dynamic Covariance Matrices (2017)Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected Stock Returns and Variance Risk Premia (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)The Behavior of Stock-Market Prices (1965)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 1996Commonality in the determinants of expected stock returns1,066 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
  • 1991The efficient market inefficiency of capitalization–weighted stock portfolios369 cited
  • 2007The Volatility Effect359 cited
  • 1975Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles261 cited
  • 1996Volatility and the Institutional Investor212 cited
  • 2012The Volatility Effect in Emerging Markets169 cited

Cited by

  • 2013Volatility and Mutual Fund Manager Skill

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

120 cited
  • 2013The Low Risk Anomaly: A Decomposition into Micro and Macro Effects100 cited
  • 2013Low-Risk Investing Without Industry Bets91 cited
  • 2014Explanations for the Volatility Effect: An OverviewBased on the CAPM Assumptions68 cited
  • 2017Anomalies in Chinese A-Shares53 cited
  • 2019The Volatility Effect Revisited50 cited
  • 2015Value, Size, Momentum, Dividend Yield, and Volatility in China’s A-Share Market44 cited
  • 2014Momentum returns and information uncertainty: Evidence from China40 cited
  • 2018Does the application of smart beta strategies enhance portfolio performance? The case of Islamic equity investments39 cited
  • 2020Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly39 cited
  • 2014Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets39 cited
  • 2017The profitability of low-volatility36 cited
  • 2017Is there momentum in factor premia? Evidence from international equity markets31 cited
  • 2015Is there a low-risk anomaly across countries?30 cited
  • 2018Five Concerns with the Five-Factor Model29 cited
  • 2013The high returns to low volatility stocks are actually a premium on high quality firms28 cited