Arbeitspapier

Low risk anomalies?

This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns con- cisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the standard capital as- set pricing model increasingly overestimates required equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta/volatility increases with firms' downside risk. Our results suggest that the returns to betting against beta/volatility do not necessarily pose asset pricing puzzles but rather that such strategies collect premia that compensate for skew risk.

Sprache
Englisch

Erschienen in
Series: CFS Working Paper Series ; No. 550

Klassifikation
Wirtschaft
Thema
low risk anomaly
skewness
credit risk
risk premia
equity options

Ereignis
Geistige Schöpfung
(wer)
Schneider, Paul
Wagner, Christian
Zechner, Josef
Ereignis
Veröffentlichung
(wer)
Goethe University Frankfurt, Center for Financial Studies (CFS)
(wo)
Frankfurt a. M.
(wann)
2016

Handle
URN
urn:nbn:de:hebis:30:3-418697
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Schneider, Paul
  • Wagner, Christian
  • Zechner, Josef
  • Goethe University Frankfurt, Center for Financial Studies (CFS)

Entstanden

  • 2016

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