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Factor Investing – A Tutorial for Factor Models and Investinghttp://pageoverview.com/website-report/factorinvestingtutorial.wordpress.com
Reference: http://ssrn.com/abstract=980865 The Volatility Effect Introduction The volatility effect arose from empirical evidence from Blitz (see paper in link above) that stocks with low volatility earn high risk-adjusted returns. In fact, they find that these risk-adjusted returns are higher than the market. This work completely violates the notion set forth by traditional CAPM theory, which states…
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