Resumen de The limits to arbitrage and the low-volatility anomaly
Xi Li, Rodney N. Sullivan, Luis Garcia-Feijóo
The authors found that over 1963-2010, the existence and trading efficacy of the low-volatility stock anomaly were more limited than widely believed. For example, they found no anomalous returns for equal-weighted long-short (low-risk minus high-risk) portfolios and that alpha is largely eliminated when omitting low-priced stocks from value-weighted long-short portfolios. Furthermore, performance of long-short portfolios was significantly reduced by high transaction costs, reflecting the finding that the abnormal returns were concentrated among low-liquidity and smaller stocks. Amplifying liquidity needs, the anomalous excess returns quickly reversed, requiring frequent rebalancing. The authors' findings have meaningful implications for implementing low-risk equity portfolio strategies
