Low-Volatility Cycles : The Influence of Valuation and Momentum on Low-Volatility Portfolios
Research showing that the lowest risk stocks tend to outperform the highest risk stocks over time has led to rapid growth in so-called low-risk equity investing in recent years. We examine the performance of the low-risk strategy previously considered in the literature and of a beta-neutral low-risk strategy more relevant to practice. We demonstrate that the historical performance of low risk investing, like any quantitative investment strategy, is time-varying. We find that both of our low-risk strategies exhibit dynamic exposure to the well-known value, size, and momentum factors and appear to be influenced by the overall economic environment. Our results suggest time-variation in the performance of low-risk strategies is likely influenced by the approach to constructing the low-risk portfolio strategy and by the market environment and associated valuation premia
Year of publication: |
2014
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Authors: | García-Feijóo, Luis |
Other Persons: | Kochard, Lawrence Edward (contributor) ; Sullivan, Rodney N (contributor) ; Wang, Peng (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Aktienmarkt | Stock market | Kapitalmarktrendite | Capital market returns |
Saved in:
freely available
Extent: | 1 Online-Ressource (34 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Financial Analysts Journal, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 15, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2310353 [DOI] |
Classification: | C31 - Cross-Sectional Models; Spatial Models ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013063256
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