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- W2572172737 abstract "This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns concisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the standard capital asset 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." @default.
- W2572172737 created "2017-01-26" @default.
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- W2572172737 date "2015-01-01" @default.
- W2572172737 modified "2023-09-23" @default.
- W2572172737 title "Low Risk Anomalies?" @default.
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- W2572172737 doi "https://doi.org/10.2139/ssrn.2593519" @default.
- W2572172737 hasPublicationYear "2015" @default.
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