The Volatility Effect Revisited

@inproceedings{Blitz2019TheVE,
  title={The Volatility Effect Revisited},
  author={David C. Blitz and Pim van Vliet and Guido Baltussen},
  year={2019}
}
High-risk stocks do not have higher returns than low-risk stocks in all major stock markets. This article provides a comprehensive overview of this low-risk effect, from the earliest asset pricing studies in the 1970s to the most recent empirical findings and interpretations. 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 interest rate… Expand
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