This article provides conclusive evidence that the U.S. stock market is highly inefficient. Our results, spanning a 45 year period, indicate dramatic, consistent, and negative payoffs to measures of risk, positive payoffs to measures of current profitability, positive payoffs to measures of...

This paper was the basis of the paper entitled "Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles," which was published in the Journal of Financial and Quantitative Analysis in December 1975. Differences between the two papers result from the refereeing process. This...

This article provides global evidence supporting the Low Volatility Anomaly: that low risk stocks consistently provide higher returns than high risk stocks. This study covers 33 different markets during the time period from 1990-2011. (Two previous studies by Haugen & Heins (1972) and Haugen &...