Concepedia

Low-volatility Anomaly

The "Low-Volatility Anomaly" is a market anomaly in which low-volatility securities consistently outperform high-volatility securities over time, contrary to the traditional risk-return tradeoff predicted by asset pricing models.

38

Publications

2.4K

Citations

112

Authors

71

Institutions

Publications per year

2017–2026

13

Variants

Low-volatility Effect

Parents

Publications

38

Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly

Jeffrey Wurgler, Brendan Bradley, Malcolm Baker · The Faculty Digital Archive (New York University) · 2010 · 821 citations · Full text

, , +16

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

Malcolm Baker, Brendan Bradley, Jeffrey Wurgler · Financial Analysts Journal · 2010 · 232 citations · Full text

, , +14

Low Risk Stocks Outperform within All Observable Markets of the World

Nardin L. Baker, Robert A. Haugen · SSRN Electronic Journal · 2012 · 171 citations · Full text

, , +16

Price discovery in high and low volatility periods: open outcry versus electronic trading

Martin Martens · Journal of International Financial Markets Institutions and Money · 1998 · 103 citations

, , +16

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

Malcolm Baker, Brendan Bradley, Ryan Taliaferro · Financial Analysts Journal · 2014 · 89 citations

, , +17

1–5 of 38

Authors

112

  1. MB
    Malcolm Baker

    National Bureau of Economic Research, United States

    3 publications · 1.1K citations

    3

    h-index

  2. XL
    Xi Li

    University of Arkansas at Fayetteville, United States

    3 publications · 118 citations

    3

    h-index

  3. RN
    Rodney N. Sullivan

    CFA Institute, United States

    3 publications · 118 citations

    3

    h-index

  4. LG
    Luis García‐Feijóo

    Florida Atlantic University, United States

    3 publications · 118 citations

    3

    h-index

  5. DB
    David Blitz

    Erasmus University Rotterdam, Netherlands

    3 publications · 82 citations

    3

    h-index

1–5 of 112

Institutions

71

  1. Florida Atlantic University

    Boca Raton, United States

    3 h-index

    3 publications

    118 citations

  2. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    5 publications

    2.2K citations

  3. UNSW Sydney

    Sydney, Australia

    2 h-index

    2 publications

    97 citations

  4. Fidelity Investments (United States)

    Boston, United States

    2 h-index

    2 publications

    1.1K citations

  5. Lancaster University

    Lancaster, United Kingdom

    2 h-index

    2 publications

    126 citations

  6. University of Hong Kong

    Pok Fu Lam, Hong Kong

    2 h-index

    2 publications

    106 citations

  7. Mass General Brigham

    Boston, United States

    2 h-index

    2 publications

    106 citations

  8. Brunel University of London

    London, United Kingdom

    2 h-index

    8 publications

    216 citations

1–8 of 71

Venues

  1. SSRN Electronic Journal

    Repository · 9 publications · 312 citations

    9

    h-index

  2. Financial Analysts Journal

    FAJ · 4 publications · 427 citations

    4

    h-index

  3. The Journal of Portfolio Management

    JPM · 4 publications · 110 citations

    4

    h-index

  4. Finance research letters

    2 publications · 68 citations

    2

    h-index

  5. The Journal of Index Investing

    JII · 2 publications · 24 citations

    2

    h-index

1–5