The Volatility Effect Revisited

@article{Blitz2019TheVE,
  title={The Volatility Effect Revisited},
  author={David C. Blitz and Pim van Vliet and Guido Baltussen},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2019}
}
High-risk stocks do not have higher returns than low-risk stocks in all major stock markets. This paper provides a comprehensive overview of this low-risk effect, from the earliest asset pricing studies in the nineteen seventies to the most recent empirical findings and interpretations since. Volatility appears to be the main driver of the anomaly, which is highly persistent over time and across markets, and which cannot be explained by other factors such as value, profitability, or exposure to… Expand