Equity - Low-volatility effect

  • Stefano, C. et. al. Deconstructing the Low-Vol Anomaly (2015). SSRN
  • Korn, O. and Kuntz, L. Low-Beta Investment Strategies (2015). SSRN
  • Jylha, P., Suominen, M. and Tomunen, T. Beta Bubbles (2015). SSRN
  • Jordan, B. and Riley, T. The Long and Short of the Vol Anomaly (2014). SSRN
  • Garcia-Feijoo, L. et. al. Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios (2013). SSRN
  • Huang, S., Lou, D. and Polk, C. The Booms and Busts of Beta Arbitrage (2013). Link
  • Baker, N. and Haugen, R. Low Risk Stocks Outperform within All Observable Markets of the World (2012). SSRN
  • Dutt, T. and Humphery-Jenner, M. Stock Return Volatility, Operating Performance and Stock Returns: International Evidence on Drivers of the 'Low Volatility' Anomaly (2012). SSRN
  • Soe, A. The Low Volatility Effect: A Comprehensive Look (2012). SSRN
  • Frazzini, A. and Pedersen, L. Betting Against Beta (2011). SSRN
  • Li, X., Sullivan, R. and Garcia-Feijoo, L. The Low-Volatility Anomaly: Market Evidence on Systematic Risk versus Mispricing (2011). SSRN
  • Baker, M., Bradley, B. and Wurgler, J. Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010). SSRN
  • Blitz, D. and Van Vliet, P. The Volatility Effect: Lower Risk Without Lower Return (2007). SSRN

Equity - iniosyncratic volatility effect

  • Hou, K. and Loh, R. Have We Solved the Idiosyncratic Volatility Puzzle? (2015) SSRN

Fixed income

  • de Carvalho, R. et. al. Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets (2013). SSRN