low-volatility investingHigh-risk stocks do not have higher returns than low-risk stocks in all major stock markets. This paper provides a comprehensive overview of this low-risk effecdoi:10.2139/ssrn.3442749Blitz, Davidvan Vliet, PimBaltussen, Guido...
【3】Blitz, D., and M. X. Hanauer. 2021. “Resurrecting the Value Premium.” The Journal of Portfolio Management 47 (2): 63–81. 【4】Blitz, D., P. van Vliet, and G. Baltussen. 2020. “The Volatility Effect Revisited.” The Journal of Portfolio Management 46 (2): 45–63. 【...
There could be a myth out there that, “Well, they’re CEOs. They must all be perfect already. They already know what they’re doing.” This opened the conversation that these are hard jobs. There’s volatility in the world right now, too. It’s OK if we don’...
Real Estate Investment Trust (REIT) returns and volatility have been extensively studied, yet typically in isolation from each other. Given that returns and volatility are generally connected in the eyes of investors, we simultaneously analyze the drivers of REIT returns and volatility over the modern...
The prominent role that energy use has played in the world's economic development, not to mentionWest Africa, cannot be disputed. However, thedetrimental effectof outburst pollution on the environment and waste of resources must be a significant concern to many research and economic stakeholders. ...
The parameters vary due to structural or policy changes and the model is subject to shocks that have time-varying volatility. In this way we are able to track changes over time in both the point forecasts of debt–GDP ratio and their uncertainty; both affect the subsequent credit rating. ...
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past volatility and future returns. For individual stocks, this correlation is moderate and decays exponentially over 50 day... JP Bouchaud,A Matacz,M Potters - 《Science & Finance Working...
If affixing the commercial label permits the suppression of any speech that may lead to political or social “volatility,” free speech would be endangered. — Hon. Samuel Alito, in Matal v. Tam In short, the Court acknowledged that commercial speech can have non-commercial expressive content....
measure of risk and, by extension, of return, its flip side. The higher the volatility, the higher the risk - and the reward. That volatility increases in the transition from bull to bear markets seems to support this pet theory. But how to account for surging volatility in plummeting ...
Risk premiums rise by one to two percentage points relative to averages over the past decade as volatility stays high. Balance sheet outcomes: Stagnation in real values and balance sheet contraction relative to GDP. The size of the balance sheet overall starts to revert toward historic averages ...