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Novy-Marx, Robert - 2014

Persistent link: https://www.econbiz.de/10010431331

Novy-Marx, Robert - 2014

the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the …

Persistent link: https://www.econbiz.de/10012458074

Investment strategies and determinants in capital markets

Grabellus, Markus - 2014

Persistent link: https://www.econbiz.de/10010486731

Investor attention: what does it measure, really?

Bucher, Melk - In: Essays in asset pricing, (pp. 90-122). 2018

that the short leg is related to 7 of them. Part of the associations is driven by idiosyncratic volatility and thus joint …

Persistent link: https://www.econbiz.de/10011906887

Size, value, and momentum risk in the cross-section of average returns and volatility

Lindaas, Knut F.; Simlai, Prodosh - In: Research in finance 32 (2016), pp. 109-144

Persistent link: https://www.econbiz.de/10011691511

Profitability and low-risk anomalies reexamined

Kohls, Tobias; Mager, Ferdinand - In: Global finance journal 56 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014478979

Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

Constructing inverse factor volatility portfolios: a risk-based asset allocation for factor investing

Shimizu, Hidehiko; Shiohama, Takayuki - In: International review of financial analysis 68 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012300934

Is macroeconomic tail risk contagious to stock idiosyncratic risk?

Yao, Shouyu; Wang, Chunfeng; Palma, Alessia; Goodell, … - In: Finance research letters 63 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10014531317

Essays on asset and portfolio management : rethinking portfolio rebalancing

Wittig, Hagen - 2015

Vergleich zu einer Buy and Hold Strategie, einer idealisierten SAA Strategie sowie einer ansonsten vergleichbaren … characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … comparison to a buy and hold strategy, an idealized SAA strategy, as well as a rebalancing strategy with static bandwidths but …

Persistent link: https://www.econbiz.de/10011418707

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