Low Risk Anomalies?

Citations

Cited by:

1. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
2. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
3. Bradrania, Reza & Veron, Jose Francisco, 2023. "The beta anomaly in the Australian stock market and the lottery demand," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
4. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
5. Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
   • Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
6. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
7. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
8. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
   • Victoria Dobrynskaya, 2019. "Avoiding Momentum Crashes: Dynamic Momentum and Contrarian Trading," Proceedings of International Academic Conferences 9912063, International Institute of Social and Economic Sciences.
9. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, July.
10. Kim, Hyuksoo & Kim, Saejoon, 2022. "Managing downside risk of low-risk anomaly portfolios," Finance Research Letters, Elsevier, vol. 46(PB).
11. Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
12. Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR), revised 2017.
13. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
14. Sehgal, Sanjay & Rakhyani, Sarika & Deisting, Florent, 2022. "Does betting against beta strategy work in major Asian Markets?," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
15. Xu, Xia, 2025. "Market neutrality and beta crashes," Journal of Empirical Finance, Elsevier, vol. 80(C).
16. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
    • Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Gormsen, Niels Joachim, 2018. "Betting Against Correlation: Testing Theories of the Low-Risk Effect," CEPR Discussion Papers 12686, C.E.P.R. Discussion Papers.
17. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
18. Corvino, Raffaele & Ruggiero, Francesco, 2021. "The relative pricing of sovereign credit risk after the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 112(C).
19. Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
20. Stanislav Anatolyev & Anton Petukhov, 2016. "Uncovering the Skewness News Impact Curve," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 746-771.
21. Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2018. "Absolving beta of volatility’s effects," Journal of Financial Economics, Elsevier, vol. 128(1), pages 1-15.
22. Katagiri, Mitsuru & Shino, Junnosuke & Takahashi, Koji, 2025. "Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation," Journal of Financial Markets, Elsevier, vol. 73(C).
23. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
24. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
25. Wang, Shikun & Zhu, Shushang & Huang, Yi & Li, Zhongfei, 2024. "Estimation of expected return integrating real-time asset prices implied information and historical data," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
26. Li, Tianyang & Li, Yinzhu, 2025. "Low-risk anomaly: Idiosyncratic risk or return distribution," Finance Research Letters, Elsevier, vol. 74(C).