The volatility effect revisited
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 …
This article provides a comprehensive overview of this low-risk effect, from the earliest asset …
[HTML][HTML] What we know about the low-risk anomaly: a literature review
J Traut - Financial Markets and Portfolio Management, 2023 - Springer
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 …
across asset classes. This paper provides a structured summary of the current state of …
The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande
We estimate and explain the time-varying left-tail dependence between the returns of the
China Evergrande Group, a prominent real estate developer in financial distress, and 275 …
China Evergrande Group, a prominent real estate developer in financial distress, and 275 …
[HTML][HTML] The volatility effect in China
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 …
China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A …
[HTML][HTML] A Minimum Variance Hedging Ratio Model Based on Nonlinear Grey Classification Model
X Gao, Z Zhao - Wireless Communications and Mobile Computing, 2022 - hindawi.com
The risk transfer function of futures market is mainly realized by hedging strategy. Futures
price yield and spot price yield tend to show different fluctuations before and during hedging …
price yield and spot price yield tend to show different fluctuations before and during hedging …
The Current Situation, Issue and Constructive Approaches of the A-Share Market
X Dong, S Lin, X Tong - Proceedings of the 6th International Conference …, 2023 - Springer
The existence of the A-share market has contributed to some extent to the development of
China's capitalist market and the study of its development is one of the hot topics today. This …
China's capitalist market and the study of its development is one of the hot topics today. This …
Visiting the Factor Zoo: Theory Meets Practice/Author Florian Halmdienst, BSc
F Halmdienst - 2020 - epub.jku.at
In der empirischen Kapitalmarktforschung existieren hunderte von Anomalien bzw.
Faktoren, die versuchen erwartete Aktienrenditen zu erklären. Factor investing versucht …
Faktoren, die versuchen erwartete Aktienrenditen zu erklären. Factor investing versucht …