The Low-Risk Anomaly: A Decomposition into Micro and Macro           Effects

Baker, Malcolm; Bradley, Brendan; Taliaferro, Ryan

doi:10.2469/faj.v70.n2.2

Cited by 81 publications

(32 citation statements)

References 32 publications

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“…In addition, the positive returns have also been found in many developed countries and across several asset classes (e.g. Baker et al (2014) and ).…”

Section: Literature Reviewmentioning

confidence: 95%

“…However, as systematic risk exposure tends to be similar across similar businesses, one may argue that the low-risk returns are attributable to stocks that are in relatively more stable industries. Baker, Bradley and Taliaferro (2014) find that the superior performance comes from both picking low-beta stocks (micro effect) in low-beta industry/ country (macro effect). This finding is further corroborated by Asness, Frazzini and Pedersen (2014) who document that low-risk investing strategy delivers positive returns even as industry-neutral bets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Black et al (1972) and Fama & French (1992)) and received renewed attention recently (e.g. Ang et al (2006), Ang et al (2009), Baker et al (2011), Baker et al (2014 and ).…”

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confidence: 99%

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

Saengchote¹

2017

AAMJAF

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“…In addition, the positive returns have also been found in many developed countries and across several asset classes (e.g. Baker et al (2014) and ).…”

Section: Literature Reviewmentioning

confidence: 95%

Section: Literature Reviewmentioning

confidence: 99%

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

Saengchote¹

2017

AAMJAF

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“…Estimates of this number are found in the asset pricing literature. Baker, Bradley, and Taliaferro () give 6.9% for U.S. stocks. Frazzini and Pedersen () give between 1.2% and 8% for corporate bonds.…”

Section: Resultsmentioning

confidence: 98%

The Macroeconomics of Shadow Banking

Moreira¹,

Savov²

2017

The Journal of Finance

191

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We build a macrofinance model of shadow banking—the transformation of risky assets into securities that are money‐like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral‐intensive funding. Shadow banking collapses, liquidity provision shrinks, liquidity premia and discount rates rise, asset prices and investment fall. The model generates slow recoveries, collateral runs, and flight‐to‐quality effects, and it sheds light on Large‐Scale Asset Purchases, Operation Twist, and other interventions.

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“…This relationship is known in the academic literature and to practitioners as the "low-beta anomaly". The low-beta anomaly and theories of its causes are widely discussed in the literature on behavioral finance (Baker et al, 2014;Baker et al, 2011;Blitz et al, 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

The Low Beta Anomaly and Estimation Interval

Renfro¹

2019

AFR

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The purpose of this study was to assess the nature of the relationship between equity beta, and post-estimation return. Specifically, this study sought to address the validity and persistence of the low-beta anomaly across multiple beta estimation intervals. Within the twenty-year sample period from January of 1994 to December of 2013 this research covered ten different beta estimation intervals to determine whether a statistically significant and theoretically consistent relationship existed between equity beta and post-estimation realized return. This research provided two basic conclusions: First, the low-beta anomaly is not robust across multiple beta estimation intervals. Second, with any test of the relationship between beta and return the choice of beta estimation interval matters. Different estimation intervals sometimes provide contradictory empirical results for the same period.

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The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects

Cited by 81 publications

References 32 publications

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

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

The Macroeconomics of Shadow Banking

The Low Beta Anomaly and Estimation Interval

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