Common explanations of the low volatility anomaly involve biases or frictions that cause investors to overpay for high … volatility assets, giving them a negative alpha within the CAPM model, yet currently all such mechanisms are either heuristic or …

reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering …

We present some empirical evidence for short volatility strategies and for the cyclical pattern of their P&L. The … cyclical pattern of the short volatility strategies produces an alpha in good times but collapses to the beta in bad times. We … introduce a factor model with risk-aversion to explain the risk-premium of short volatility strategies as a compensation to bear …

empirical results, our model yields an asymmetric relationship between stock return and volatility. Based on the simple … assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we … our volatility model yields the predicted negative relationship between abnormal returns and subsequent volatility …

The evidence for the existence of a distinct low-volatility effect is mounting. However, implicit exposures to the Fama …-French value factor (HML) seem to explain the performance of straightforward U.S. low-volatility strategies since 1963. In this … paper I show that the value effect can neither explain the performance of large-cap low-volatility strategies pre-1963, nor …

Recent studies find stock returns are negatively related to idiosyncratic volatility (IVOL). We find that aggregate … variables known to explain stock market volatility affect the IVOL and portfolio returns sorted by IVOL. Macroeconomic …