Sentences with phrase «low volatility effect»

Abnormal Returns: The low volatility effect has some profound implications for corporate finance as well.

Since Facebook is much in the news, does the low volatility effect help explain the underperformance of IPOs?

Standard and Poor's research article «The Low Volatility Effect: A Comprehensive Look» references empirical evidence illustrating that low volatility investing outperforms the broad market on a risk - adjusted basis over the long term.

What this research also shows is that the low volatility effect is seen over full market cycles.

Low volatility stocks tend to trade at a discount to the broad market and, of course, to high volatility stocks; the magnitude of the discount is highly variable, 2 but the low volatility effect has nonetheless been durable (see Table 1).

Historical Record The low volatility effect has been known so long1 and studied so extensively that there is little danger it will be discredited as a statistical fluke or a by - product of incomplete or erroneous data.

A simple, direct explanation of the low volatility effect is that many investors willingly accept lottery - like risk in pursuit of better - than - average returns.

This blog extends the study of the low volatility effect to U.S. preferred stocks.

Not exact matches

The post ties in with SRSV's lecture on non-conventional monetary policies, particularly the side - effect of market addiction to low volatility, and the lecture on price distortions, particularly the section on feedback loops.

The materials sector is 5 per cent lower than at end October and has shown considerable volatility during the period because of the conflicting effects of strong increases in metals prices and concerns about the appreciation of the Australian dollar.

In extended hours trading, these announcements may occur during trading, and if combined with lower liquidity and higher volatility, may cause an exaggerated and unsustainable effect on the price of a security.

I believe much of the recent market volatility really results from the second - and third - order effects of lower commodity prices.

Despite the strong start to the year, profits are in danger of weakening because of the higher volatility that has been caused by instability in the Chinese economy and the ripple effects that have sent global markets lower.

When combined, the offsetting effect can compress the range of investment outcomes, which lowers total volatility.

Since delta includes volatility as a factor (in d1), regardless of whether volatility is high or low as long as the price change has a proportionate effect on the expected value then delta may not be jumping around as much as you think.

Funneling price through market makers has the effect of lowering volatility; depending on how you trade, that can be an advantage or disadvantage.

Minimum volatility strategies seek to decrease the effects of the market's ups and downs over time by providing equity investors lower risk alternatives to traditional equity portfolios.

In their March 2013 paper entitled «Country and Sector Drive Low - Volatility Investing in Global Equity Markets», Sanne de Boer, Janet Campagna and James Norman investigate the role of country and sector effects in low - volatility investing across global stock markeLow - Volatility Investing in Global Equity Markets», Sanne de Boer, Janet Campagna and James Norman investigate the role of country and sector effects in low - volatility investing across global stocVolatility Investing in Global Equity Markets», Sanne de Boer, Janet Campagna and James Norman investigate the role of country and sector effects in low - volatility investing across global stock markelow - volatility investing across global stocvolatility investing across global stock markets.

In their July 2016 paper entitled «The Profitability of Low Volatility», David Blitz and Milan Vidojevic examine whether: (1) any of several models expose a conventional return - for - risk market beta effect for stocks; and, (2) the low - volatility effect is distinct from a low - beta effeLow Volatility», David Blitz and Milan Vidojevic examine whether: (1) any of several models expose a conventional return - for - risk market beta effect for stocks; and, (2) the low - volatility effect is distinct from a low - beVolatility», David Blitz and Milan Vidojevic examine whether: (1) any of several models expose a conventional return - for - risk market beta effect for stocks; and, (2) the low - volatility effect is distinct from a low - beta effelow - volatility effect is distinct from a low - bevolatility effect is distinct from a low - beta effelow - beta effect.

Tha way I would buy low implied and sell high implied volatility, I would capture the same skew effect but with less transaction costs.

I made this point before with low volatility funds, showing how to find lower cost ETFs that have the same effect.

Adding to the effect is the heightened importance placed on low - volatility / high - momentum stocks.