Schneider, Paul, Wagner, Christian, Zechner, Josef. 2019. Low Risk Anomalies? Journal of Finance.

RIS

@ARTICLE{Schneider2019,
title = {Low Risk Anomalies?},
author = {Paul Schneider and Christian Wagner and Josef Zechner},
year = {2019},
doi = {http://dx.doi.org/10.2139/ssrn.2593519},
url = {https://ssrn.com/abstract=2593519},
language = {EN},
journal = {Journal of Finance},
abstract = {This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual coskewness, which allows us to construct coskewness factor mimicking portfolios. Controlling for skewness renders the alphas of betting-against-beta and -volatility insignificant. We also show that the returns of beta- and volatility-sorted portfolios are largely driven by a single principal component, which is in turn largely explained by skewness.},
}