Abstract The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk
and return, but empirical studies find the actual relation to be flat, or even negative. This …

The authors show that leverage aversion changes the predictions of modern portfolio theory:
Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high …

Portfolio construction techniques based on predicted risk, without expected returns, have
become popular in the last decade. In terms of individual asset selection, minimum-variance …

In a standard four-factor framework, mutual fund return volatility is a reliable, persistent, and
powerful predictor of future abnormal returns. However, the abnormal returns are eliminated …

This study highlights the link between stock return volatility, operating performance, and
stock returns. Prior studies suggest that there is a 'low volatility'anomaly, where firms with a …

Low-risk stocks have offered a combination of relatively low risk and high returns. We
decomposed the low-risk anomaly into micro and macro components. The micro component …

The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-
beta stocks (“betting against beta”) has been shown to deliver significant risk-adjusted …

High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This paper provides a comprehensive overview of this low-risk effect, from the earliest asset …

We are the first to demonstrate the decline in the cross-sectional predictability of country and
industry returns in recent years. We examine 53 anomalies in country and industry indices …

There are already many good textbooks on financial markets and investments with the book
by Bodie, Kane, and Marcus (2014) as a popular and excellent example. This book …