Low‐Risk Anomalies?

Paul Schneider, Christian Wagner, Josef ZechnerFinance资产定价UTD24

Journal of Finance2020-04-26Università della Svizzera italiana; University of ViennaDOI

Citations146

Influential4

References101

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.

BusinessFinancial Markets and Investment StrategiesCredit Risk and Financial RegulationsFinancial Risk and Volatility Modeling