We show that over a long study period (1963-2010), the existence and trading efficacy of the well-known low-volatility stock anomaly are more limited than widely believed. For example, we find that the anomalous returns are not found within equal weighted long-short (low minus high risk)...

We find that the weather induced local employment growth surprises are positively related to the cross section of future local stock returns for up to three months without subsequent reversals. In comparison, neither weather nor reported employment growth can predict future returns. This return...