The low-risk anomaly: : a decomposition into micro and macro effects

• Autores: Malcolm Baker, Brendan Bradley, Ryan Taliaferro
• Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 70, Nº. 2, 2014, págs. 43-58
• Idioma: inglés
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• Resumen

  • Low-risk stocks have offered a combination of relatively low risk and high returns. We decomposed the low-risk anomaly into micro and macro components. The micro component comes from the selection of low-beta stocks. The macro component comes from the selection of low-beta countries or industries. Both parts contribute to the anomaly, with important implications for the construction of managed-volatility portfolios.

    Authors� note: The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research or Acadian Asset Management. The views should not be considered investment advice and do not constitute or form part of any offer to issue or sell, or any solicitation of any offer to subscribe or to purchase, shares, units or other interests in any particular investments.