Low Risk Anomalies?

Paul Schneider, Christian Wagner, Josef Zechner

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

This paper shows that stocks' CAPM alphas are negatively related to CAPM betas if investors demand compensation for negative skewness. Thus, high (low) beta stocks appear to underperform (outperform). This apparent anomaly merely reflects compensation for residual coskewness ignored by the CAPM. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual coskewness and alphas. Beta- and volatility-based low risk anomalies are largely driven by a single principal component, which is in turn largely explained by skewness. Controlling for skewness renders the alphas of betting-against-beta and -volatility insignificant.
OriginalsprogEngelsk
Publikationsdato2017
Antal sider72
DOI
StatusUdgivet - 2017
BegivenhedThe 77th Annual Meeting of American Finance Association. AFA 2017 - Sheraton Grand Chicago, Chicago, USA
Varighed: 6 jan. 20178 jan. 2017
Konferencens nummer: 77
http://www.afajof.org/details/page/8672741/Paper-Submission-2017.html

Konference

KonferenceThe 77th Annual Meeting of American Finance Association. AFA 2017
Nummer77
LokationSheraton Grand Chicago
Land/OmrådeUSA
ByChicago
Periode06/01/201708/01/2017
Internetadresse

Emneord

  • Low risk anomaly
  • Skewness
  • Risk premia
  • Equity options

Citationsformater