Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089586 | Journal of Banking & Finance | 2013 | 19 Pages |
Abstract
⺠Low volatility firms earn higher stock returns in emerging and developed markets. ⺠Low volatility firms have stronger operating performance. ⺠Strong operating performance might explain the link between volatility and returns. ⺠The results hold across emerging and developed markets and across market conditions. ⺠The findings provide an explanation for the 'low volatility anomaly'.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tanuj Dutt, Mark Humphery-Jenner,