Abstract

http://ssrn.com/abstract=2210003
 
 

References (27)



 
 

Citations (4)



 
 

Footnotes (1)



 


 



The Low Risk Anomaly: A Decomposition into Micro and Macro Effects


Malcolm P. Baker


Harvard Business School; National Bureau of Economic Research (NBER)

Brendan Bradley


Acadian Asset Management Inc., USA

Ryan Taliaferro


Acadian Asset Management

September 13, 2013

Financial Analysts Journal, Forthcoming

Abstract:     
Low beta stocks have offered a combination of low risk and high returns. We decompose the 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. The two parts both contribute to the low beta anomaly, with important implications for the construction of managed volatility portfolios.

Number of Pages in PDF File: 38

Keywords: low volatility, beta, portfolio construction, market efficiency, capital asset pricing model

JEL Classification: G11, G12, G14

Accepted Paper Series


Download This Paper

Date posted: February 1, 2013 ; Last revised: September 14, 2013

Suggested Citation

Baker, Malcolm P. and Bradley, Brendan and Taliaferro, Ryan, The Low Risk Anomaly: A Decomposition into Micro and Macro Effects (September 13, 2013). Financial Analysts Journal, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2210003 or http://dx.doi.org/10.2139/ssrn.2210003

Contact Information

Malcolm P. Baker (Contact Author)
Harvard Business School ( email )
Boston, MA 02163
United States
617-495-6566 (Phone)
HOME PAGE: http://www.people.hbs.edu/mbaker
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Brendan Bradley
Acadian Asset Management Inc., USA ( email )
Ryan Taliaferro
Acadian Asset Management ( email )
260 Franklin Street
Boston, MA 02110
United States
Feedback to SSRN


Paper statistics
Abstract Views: 4,027
Downloads: 1,157
Download Rank: 8,776
References:  27
Citations:  4
Footnotes:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.296 seconds