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. 【...
as well as the volatility spillover effect on these two markets using BEKK-MGARCH model.The empirical results show that there is volatility spillover effect between the two markets.However,the authors find the volatility spillover effect is asymmetric,that is,the volatility spillover from foreign ...
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’t...
Market - also known as beta or systematic - risk and volatility reflect underlying problems with the economy as a whole and with corporate governance: lack of transparency, bad loans, default rates, uncertainty, illiquidity, external shocks, and other negative externalities. The behavior of a ...
As for other financial services providers, their average returns and volatility are higher than that of banks and insurance companies (except AMP, FRG, and PPT). The returns of banks and insurance companies are negatively skewed (except ANZ and BEN). On the other hand, the other financial ser...
The wavelet methods allow to isolate the effect of different global risk indices (such as the US economic uncertainty index (EPU), the crude oil volatility index (OVX) and the geopolitical risk index (GPR)) on the level of risk connectedness. Our analysis found that the real economic ...
so that the pandemic has been a major structural break for these economies. Despite having larger output/employment shortfalls relative to AEs, EMs have responded much faster to rising inflation pressures. Should the risks of greater supply shock volatility and heightened fragmentation materialize, they...
We find that the indirect effect can be either positive or negative, and in all industries is energy using. The net impact of environmental regulations on total factor productivity growth is fairly small, given that these are the most polluting industries. They account for about 10–30% of ...
Hence, the value of the future isn't discounted nearly as strongly. For example, taking the average interest rate as 4%, with a volatility of 15%, Farmer and Geanakoplos show that in 500 years' time the exponential is already discounting values about one million times more strongly than ...