large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S …

market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly … frequency. The measures of daily volatility are realized-volatility at high frequency (normalized squared return), conditional-volatility … recovered from a stochastic volatility model, and implied-volatility deduced from options prices. Positive shocks to aggregate …

being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this … yield curve. More specifically, we evaluate the implications from the low-volatility screening on the portfolio's industrial … breakdown. The conclusion shows that the overweighting of defensive industries is the main source of underperformance in a risk …

Research showing that the lowest risk stocks tend to outperform the highest risk stocks over time has led to rapid … growth in so-called low-risk equity investing in recent years. We examine the performance of the low-risk strategy previously … considered in the literature and of a beta-neutral low-risk strategy more relevant to practice. We demonstrate that the …