Saengchote, Kanis
(2017)
The Low-Risk Anomaly: Evidence From The Thai
Stock Market.
Asian Academy of Management Journal of Accounting and Finance, 13 (1).
pp. 1-16.
ISSN 1823-4992
Abstract
In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns
compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004
and 2015, this paper shows that the abnormal returns associated with investing in low-beta
stocks are signifcant and robust. The zero-cost portfolio that longs low-beta stocks and
shorts high-beta stocks delivers monthly four-factor alpha of 1.26%. This paper provides
suggestive evidence that, in addition to leverage constraints, the low-risk anomaly can be
caused by institutional designs that favour stocks that are index constituents.
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