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The Volatility Effect Revisited · Study

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ArticleThe Volatility Effect Revisited

David C. Blitz2019

OA

Articlegreen2019

The Volatility Effect Revisited

David C. Blitz · Pim van. Auteur du texte Vliet · Guido Baltussen

50 citations·0/0 files stored·The Journal of Portfolio Management

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 50 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2014A five-factor asset pricing model 1981The relationship between return and market value of common stocks 2006The Cross‐Section of Volatility and Expected Returns 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION

Cited by

2019Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin 2019When Equity Factors Drop Their Shorts 2019The Cross Section of Country Equity Returns: A Review of Empirical Literature 2021Does excluding sin stocks cost performance?

Details

Year2019

Typearticle

Published2019-01-01

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations50

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.3442749

openalex_workW2970061377

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