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
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Objekttyp
- Arbeitspapier
Beteiligte
- Schneider, Paul
- Wagner, Christian
- Zechner, Josef
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2016