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 markets in isolation. Furthermore, we find that the volatility effect …

deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from … e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …

volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … held constant. For real options, the rate-of-return shortfall may change. The CAPM is commonly used to determine this. In … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993–2008, these changes are …

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 markets in isolation. Furthermore, we find that the volatility effect …

This paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large … idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the … idiosyncratic volatility and that R&D increases the riskiness of the firm. …