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Why is there a volatility effect?

Why is there a volatility effect?

29-05-2013 | Research

Robeco’s David Blitz, Pim van Vliet and author Eric Falkenstein publish their paper ‘Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions’. Empirical studies show that contrary to the Capital Asset Pricing Model (CAPM), the relationship between risk and return is flat, or even negative. But why? They come up with more than 10 insightful explanations and make clear why is too soon to discard the CAPM entirely.

  • David Blitz
    David
    Blitz
    PhD, Executive Director, Head of Quant Selection Research
  • Eric Falkenstein
    Eric
    Falkenstein
    Quantitative Equity Strategist at Pine River Capital Management
  • Pim  van Vliet, PhD
    Pim
    van Vliet, PhD
    Managing Director, Head of Conservative Equities - Pim van Vliet
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