Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly

被引：353

作者：

Baker, Malcolm ^{[1
,2
]}

Bradley, Brendan ^{[3
]}

Wurgler, Jeffrey ^{[1
,2
]}

机构：

[1] Harvard Univ, Sch Business, Cambridge, MA 02138 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Acad Asset Management, Managed Volatil Strategies, Boston, MA USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2011年 / 67卷 / 01期

关键词：

CROSS-SECTION; PROSPECT-THEORY; STOCK RETURNS; MARKET; RISK; EQUILIBRIUM; UNCERTAINTY; PORTFOLIO; SKEWNESS; OPINION;

D O I：

10.2469/faj.v67.n1.4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by the fact that the typical institutional investor's mandate to beat a fixed benchmark discourages arbitrage activity in both high-alpha, low-beta stocks and low-alpha, high-beta stocks.

引用

页码：40 / 54

页数：15

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