The Low-Risk Anomaly: Evidence From The Thai Stock Market

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

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    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.

    Item Type: Article
    Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
    Divisions: Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal of Accounting and Finance
    Depositing User: Mr Firdaus Mohamad
    Date Deposited: 20 Oct 2017 08:39
    Last Modified: 20 Oct 2017 08:39
    URI: http://eprints.usm.my/id/eprint/37209

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