spanjees
Operating performance and the low-volatility anomaly

Operating performance and the low-volatility anomaly

16-09-2015 | From the field

A paper* confirms that low-volatility stocks earn higher returns than high-volatility stocks in equity markets around the globe, a finding which is consistent with our own work in this area. The authors then go on to argue that an explanation for this anomaly is the superior operating performance of low-volatility stocks.

  • David Blitz
    David
    Blitz
    Head of Quant Research

However, we wonder whether this is really an explanation, or basically a rephrasing of the question, as it just replaces the puzzle of why the market misprices low-volatility stocks by the puzzle why the market fails to foresee their superior operating performance. In fact, it would probably be more puzzling if low-volatility stocks would have high returns without strong operating performance, as that would imply that low-volatility stocks only do well because their valuations go up, which would indicate that the anomaly is actually a kind of value effect.

Manténgase al día de las últimas perspectivas sobre inversión cuantitativa
Manténgase al día de las últimas perspectivas sobre inversión cuantitativa
Suscríbase
From the field
From the field

Nuestros investigadores publican multitud de informes basados en sus propios estudios empíricos; también siguen los análisis cuantitativos que hacen los demás. Comentarios de nuestro responsable de análisis cuantitativo para renta variable, David Blitz, sobre publicaciones externas de gran relevancia.

Artículos relacionados
Los temas relacionados con este artículo son: