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 …

The prolonged poor performance of the value factor has led to doubts about whether the
value premium still exists. Some have noted that the observed returns still fall within …

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 …

We perform the most comprehensive test of long-term reversal in national equity indices
ever done. Having examined data from 71 countries for the years 1830 through 2019, we …

Low-risk stocks exhibit higher returns than predicted by established asset pricing models,
but this anomaly seems to be explained by the new Fama-French five-factor model, which …

Abstract DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where
they demonstrated that none of the optimized portfolios consistently outperformed the naive …

The authors offer evidence for low-risk effect from the Indian stock market using the top-500
liquid stocks listed on the National Stock Exchange (NSE) of India for the period from …

This paper investigates the profitability of combined low-volatility and momentum investment
strategies in the Nordic stock markets from January 1999 to September 2022. Confirming …

It is common practice to refer to a factor premium's current valuation when assessing its
attractiveness—in effect using a single-value-factor model to gauge whether the factor is …

In this article, the authors provide a flexible and adaptive framework that allows one to
construct a suite of long-only smart beta portfolios over a spectrum of risk characteristics …