Schneider, Paul, Wagner, Christian, Zechner, Josef. 2020. Low Risk Anomalies? Top Cited Article 2020-2021 in the Journal of Finance by Wiley. Journal of Finance. 75 (5), 2673-2718.
BibTeX
Abstract
This paper shows that low‐risk anomalies in the capital asset pricing model 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 betting‐against‐volatility insignificant. We also show that the returns of beta‐ and volatility‐sorted portfolios are driven largely by a single principal component, which in turn is explained largely by skewness.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of Finance |
Citation Index | SSCI |
WU Journalrating 2009 | A+ |
Starjournal | Y |
Language | English |
Title | Low Risk Anomalies? Top Cited Article 2020-2021 in the Journal of Finance by Wiley |
Volume | 75 |
Number | 5 |
Year | 2020 |
Page from | 2673 |
Page to | 2718 |
Reviewed? | Y |
URL | https://onlinelibrary.wiley.com/doi/10.1111/jofi.12910 |
DOI | https://doi.org/10.1111/jofi.12910 |
Open Access | N |
JEL | G12 |
Associations
- People
- Wagner, Christian (Details)
- Zechner, Josef (Details)
- External
- Schneider, Paul (USI Lugano, Switzerland)
- Organization
- Institute for Finance, Banking and Insurance IN (Details)
- Research Institute for Capital Markets FI (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 5361 Financial management (Details)