30-04-2014 · Research

Why is there a volatility effect?

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’.

    Authors

  • Pim van Vliet

    Head of Conservative Equities and Chief Quant Strategist

  • David Blitz

    Chief Researcher

  • Eric Falkenstein

    Quantitative Equity Strategist at Pine River Capital Management

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.

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