Starjournal Quotation Schneider, Paul, Wagner, Christian, Zechner, Josef. 2020. Low Risk Anomalies? Journal of Finance. 75 (5), 2673-2718.


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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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Publication's profile

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?
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)
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