Construct · 1 fields · 1 citations

low volatility anomaly: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed
low volatilityanomaly1 CONSTRUCTLow volatility anomalyBAKER · ASSET PRICING

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Asset pricing

the long-run outperformance of low-volatility stocks over high-volatility stocks, linked to benchmarking that limits arbitrage by institutional managers.

In asset pricing, low volatility anomaly refers to the long-run outperformance of low-volatility stocks over high-volatility stocks, linked to benchmarking that limits arbitrage by institutional managers. This meaning comes from Baker (2011) in Financial Analysts Journal.[1]

Unit
Recovery means
Measured by

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Nearby constructs

anomaly4 fields · 7 citationsjingle · one word, four constructsarbitrage3 fields · 3 citationsjingle · one word, three constructsasset2 fields · 2 citationsjingle · one word, two constructs

References

  1. Baker, M., Bradley, B., & Wurgler, J. (2011). Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Financial Analysts Journal, 67(1), 40-54. https://doi.org/10.2469/faj.v67.n1.4

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