This study purposed to quantify the performance potential of integrating ESG research within
emerging market investment strategies, as well as the potential for risk diversification …

This paper shows that low‐risk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …

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 …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

Purpose The portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and
market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect …

This research examined whether the beta anomaly exists in the REIT market. By analysing a
low-minus-high beta strategy and a betting-against-beta strategy in the REIT market, we find …

Abstract Frazzini and Pedersen (2014)[Betting against beta. Journal of Financial Economics,
111 (1), 1–25] report an insignificant performance for the betting against beta (BAB) strategy …

We propose novel randomized geometric tools to detect low-volatility anomalies in stock
markets; a principal problem in financial economics. Our modeling of the (detection) problem …

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local
China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A …

We investigate the beta anomaly and its relationship with stock quality in international stock
markets. The beta anomaly exists in three aggregates (Europe, Pacific, and Global) and …