The low-volatility anomaly: : Market evidence on systematic risk vs. mispricing
- Autores: Xi Li, Rodney N. Sullivan, Luis Garcia-Feijóo
- Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 72, Nº. 1, 2016, págs. 36-47
- Idioma: inglés
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- Dialnet Métricas: 1 Cita
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Resumen
The authors explored whether the well-publicized anomalous returns associated with low-volatility stocks can be attributed to market mispricing or to compensation for higher systematic factor risk. The results of their study, covering a 46-year period, indicate that the relatively high returns of low-volatility portfolios cannot be viewed solely as compensation for systematic factor risk. The results from their cross-sectional analyses indicate that average returns to low-volatility portfolios are determined by common variations associated with the idiosyncratic-volatility characteristic rather than factor loadings. This finding suggests that the excess returns are more likely driven by market mispricing connected with volatility as a stock characteristic.
