Vliet, Pim van; Blitz, Blitz, D.C. - Erasmus Research Institute of Management (ERIM), … - 2007
We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and Japanese...