and finance, the low-volatility anomaly is the observation that low-volatility securities have higher returns than high-volatility securities in most...

Low-volatility investing is an investment style that buys stocks or securities with low volatility and avoids those with high volatility. This investment...

deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived...

avoiding those with high volatility, exploiting the low-volatility anomaly. The low-volatility anomaly was identified in the early 1970s but gained popularity...

neglected firm effect. Neglected firm effect Low-volatility anomaly Schwert, G. William (2003). "Anomalies and Market Efficiency" (PDF). Handbook of Economics...

relationship between risk and return is also referred to as the low-volatility anomaly. The model assumes that there are no taxes or transaction costs...

bias puzzle Excess volatility puzzle Feldstein-Horioka puzzle Forward premium anomaly Home bias in trade puzzle Low volatility anomaly Real exchange rate...

structure of volatility describes how (implied) volatility differs for related options with different maturities. An implied volatility surface is then...

the evidence supporting market inefficiency and documented the low volatility anomaly and other quantitative factors such as value and momentum. During...

papers and an investment book, contributing to the study of the low-volatility anomaly. His collaborations have included co-authors such as Guido Baltussen...

relevance for investors, with significant contributions to the low-volatility anomaly. His co-authors include Frank Fabozzi, Eric Falkenstein, and Pim...

Occasionally, The FI-RV Investor will trade volatility. In the hedge fund unwind panic of October 1998, equity volatility on the S&P soared to around 40%. This...

expecting volatility to revert towards the average historical volatility level for the stock. When the bands lie close together, a period of low volatility is...

viewed as a temporary period with a high level of volatility in a longer period where low volatility is the norm, and not as a definitive end to the Great...

equity premium and a measure of implied volatility (in this case VIX, the Chicago Board Options Exchange Volatility Index). Dennis, Mayhew & Stivers (2006)...

increase in the price volatility of some individual securities". At 2:32 p.m. (EDT), against a "backdrop of unusually high volatility and thinning liquidity"...

Clancy, R. T.; Grossman, A. W.; et al. (Jul 1996). "Water Vapor Saturation at Low Altitudes around Mars Aphelion: A Key to Mars Climate?". Icarus. 122 (1):...

This phenomenon is one of the oldest and most persistent capital market anomalies, with evidence dating back to the late 1960s. PEAD was first documented...

outcome. Style drift is often referred to as “portfolio/style tilt”, “style volatility”, and “style shifting” by researchers and practitioners to broadly account...

Carhart four-factor model Factor investing Investment style Low-volatility investing Market anomaly Momentum (finance) Trend following Value investing...

concentration than otherwise naturally occurring (27–30% vs. 12.7%). This anomaly could be explained by the decay of 99 Tc to 99 Ru. In the bar chart, the...

power of GT data for two most popular volatility measures: realized volatility (RV) and CBOE daily market volatility index (VIX). Both studies report positive...

event (see below) could have also contributed to such an anomaly. A positive gravity anomaly could have caused polar wander, reorienting the spin axis...

Pitman, W. C.; Herron, E. M.; Heirtzler, J. R. (1968-03-15). "Magnetic anomalies in the Pacific and sea floor spreading". Journal of Geophysical Research...

Serenitatis origin for the Imbrian grooves and South Pole-Aitken thorium anomaly". Journal of Geophysical Research. 106 (E11): 27853–27864. Bibcode:2001JGR...

the other REE is often markedly higher or lower, and called the europium anomaly. It arises because Eu2+ can substitute for Ca2+ in plagioclase feldspar...

probably not saturated in either element, and loss of these volatile phases could be negligible. The low S yield is consistent with ice core records that estimated...

Italian swap spread Fixed income volatility On-the-run/off-the-run spread Junk bond arbitrage Short equity volatility Risk arbitrage Equity relative value...

announced an expected launch date for the mission of 4 May 2023. After an anomaly during testing of the Vulcan Centaur on 29 March, the launch was delayed...

their buy and sell recommendations. The existence of momentum is a market anomaly, which finance theory struggles to explain. The difficulty is that an increase...