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- Low-volatility_anomaly abstract "The low-volatility anomaly is that portfolios of low-volatility stocks have produced higher risk-adjusted returns than portfolios with high-volatility stocks in most markets studied.The low-volatility anomaly has now been found in the United States over an 85-year period and in global markets for at least the past 20 years. It is considered an anomaly because it contradicts what the Capital Asset Pricing Model (CAPM) would predict about the relationship between risk and return.Research challenging CAPM's underlying assumptions about risk has been mounting for decades. One challenge was in 1972, when Jensen, Black and Scholes published a study showing what CAPM would look like if one could not borrow at a risk-free rate. Their results indicated that the relationship between beta and realized return was flatter than predicted by CAPM.Shortly after, Robert Haugen and A. James Heins produced a working paper titled “On the Evidence Supporting the Existence of Risk Premiums in the Capital Market”. Studying the period from 1926 to 1971, they concluded that “over the long run stock portfolios with lesser variance in monthly returns have experienced greater average returns then their ‘riskier’ counterparts.”The evidence of the anomaly has been mounting due to numerous studies by both academics and practitioners which confirm the presence of the anomaly throughout the forty years since its initial discovery . Examples include Baker and Haugen (1991), Chan, Karceski and Lakonishok (1999), Jangannathan and Ma (2003), Clarke De Silva and Thorley, (2006) and Baker, Bradley and Wurgler (2011).For global equity markets, Blitz and van Vliet (2007),Nielsen and Aylursubramanian (2008), Carvalho, Xiao, Moulin (2011), Blitz, Pang, van Vliet (2012), Baker and Haugen (2012), all find similar results.".
- Low-volatility_anomaly thumbnail CAPM-SML.svg?width=300.
- Low-volatility_anomaly wikiPageID "35761468".
- Low-volatility_anomaly wikiPageRevisionID "596933327".
- Low-volatility_anomaly context "May 2012".
- Low-volatility_anomaly date "May 2012".
- Low-volatility_anomaly expert "Economics".
- Low-volatility_anomaly group "Note".
- Low-volatility_anomaly hasPhotoCollection Low-volatility_anomaly.
- Low-volatility_anomaly technical "May 2012".
- Low-volatility_anomaly subject Category:Behavioral_finance.
- Low-volatility_anomaly subject Category:Economic_efficiency.
- Low-volatility_anomaly subject Category:Finance_theories.
- Low-volatility_anomaly subject Category:Financial_economics.
- Low-volatility_anomaly subject Category:Financial_markets.
- Low-volatility_anomaly subject Category:Mathematical_finance.
- Low-volatility_anomaly subject Category:Portfolio_theories.
- Low-volatility_anomaly comment "The low-volatility anomaly is that portfolios of low-volatility stocks have produced higher risk-adjusted returns than portfolios with high-volatility stocks in most markets studied.The low-volatility anomaly has now been found in the United States over an 85-year period and in global markets for at least the past 20 years.".
- Low-volatility_anomaly label "Low-volatility anomaly".
- Low-volatility_anomaly sameAs m.0jwrz20.
- Low-volatility_anomaly sameAs Q6692794.
- Low-volatility_anomaly sameAs Q6692794.
- Low-volatility_anomaly wasDerivedFrom Low-volatility_anomaly?oldid=596933327.
- Low-volatility_anomaly depiction CAPM-SML.svg.
- Low-volatility_anomaly isPrimaryTopicOf Low-volatility_anomaly.