Understanding Defensive Equity

@article{NovyMarx2014UnderstandingDE,
  title={Understanding Defensive Equity},
  author={Robert Novy-Marx},
  journal={NBER Working Paper Series},
  year={2014}
}
High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the poor absolute performance of the most aggressive stocks. In conjunction with the well documented inability of the Fama and French three-factor model to price small growth stocks, especially unprofitable small growth stocks, these tilts also drive the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy performance is… 
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