We present empirical evidence that stocks with low volatility earn high risk-adjusted returns.
The annual alpha spread of global low versus high volatility decile portfolios amounts to 12…

High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This article provides a comprehensive overview of this low-risk effect, from the earliest asset …

In this paper we examine global tactical asset allocation (GTAA) strategies across a broad
range of asset classes. Contrary to market timing for single asset classes and tactical …

We analyze if the value-weighted stock market portfolio is stochastic dominance (SD) efficient
relative to benchmark portfolios formed on size, value, and momentum. In the process, we …

We examine the empirical relation between risk and return in emerging equity markets and
find that this relation is flat, or even negative. This is inconsistent with theoretical models such …

Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional
variation of mean return not explained by beta. This finding is typically interpreted in …

We examine 24 global factor premiums across equity, bond, commodity, and currency markets
via replication and out-of-sample evidence between 1800 and 2016. Replication yields …

The new Fama–French five-factor model is likely to become the new benchmark for asset
pricing studies. Although the five-factor model exhibits significantly improved explanatory …

Although factor premiums originate in both long and short legs of factor portfolios, we found
that (1) most added value comes from the long legs, (2) the long legs offer more …

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return,
but empirical studies find the actual relation to be flat, or even negative. This paper provides …