The active shares of traditional value style indexes are dominated by industry bets. They also capture less than the entire value premium; because they weight constituents on the basis of capitalization, they tend to hold large positions in overpriced stocks and small positions in underpriced...

Using a global equity dataset that includes emerging markets, we confirm that high-volatility stocks tend to deliver low average returns; this effect is robust to adjustments for country and style factors. We also show that sell-side analysts earnings growth forecasts for high-volatility stocks...

The active shares of traditional value style indices are dominated by industry bets. They also capture less than the entire value premium because, weighting constituents on the basis of capitalization, they tend to hold large positions in overpriced stocks and small positions in underpriced...

Using a global equity dataset that includes emerging markets, we confirm that high-volatility stocks tend to deliver low average returns; this effect is robust to adjustments for for country and style factors. We also show that sell-side analysts earnings growth forecasts for high-volatility...