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The Limits to Arbitrage and the Low-Volatility Anomaly
16 references·9 citing·21 second hop
The Limits to Arbitrage and the Low-Volatility Anomaly (2014)The Limits to Arbitrage and the Low-Volat…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…Dissecting Anomalies (2007)Dissecting AnomaliesThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Capital Investments and Stock Returns (2004)Capital Investments and Stock…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The journal of financial economics (1993)The journal of financial econ…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns (2020)Where have the profits gone? …The Volatility Effect Revisited (2019)The Volatility Effect Revisit…Factor-Based Investing: The Long-Term Evidence (2017)Factor-Based Investing: The L…XBRL Implementation and Post-Earnings-Announcement Drift: The Impact of State Ownership in China (2016)XBRL Implementation and Post-…The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing (2015)The Low-Volatility Anomaly: M…Liquid Betting against Beta in Dow Jones Industrial Average Stocks (2015)Liquid Betting against Beta i…Idiosyncratic Volatility and Expected Returns at the Global Level (2015)Idiosyncratic Volatility and …Understanding Defensive Equity (2014)Understanding Defensive EquityLow-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios (2013)Low-Volatility Cycles: The In…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)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)… and the Cross-Section of Expected Returns (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1993The journal of financial economics2,544 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2007Dissecting Anomalies1,573 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2004Capital Investments and Stock Returns1,411 cited
  • 1994Contrarian Investment, Extrapolation, and Risk

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Cited by

  • 2017Factor-Based Investing: The Long-Term Evidence58 cited
  • 2019The Volatility Effect Revisited50 cited
  • 2014Understanding Defensive Equity47 cited
  • 2015Liquid Betting against Beta in Dow Jones Industrial Average Stocks42 cited
  • 2020Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns40 cited
  • 2015Idiosyncratic Volatility and Expected Returns at the Global Level34 cited
  • 2015The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing33 cited
  • 2013Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios29 cited
  • 2016XBRL Implementation and Post-Earnings-Announcement Drift: The Impact of State Ownership in China20 cited