TY  - UNPD
A1  - Schneider, Paul
A1  - Wagner, Christian
A1  - Zechner, Josef
T1  - Low risk anomalies?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 550
N2  - This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns concisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the standard capital asset pricing model increasingly overestimates required equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta/volatility increases with firms' downside risk. Our results suggest that the returns to betting against beta/volatility do not necessarily pose asset pricing puzzles but rather that such strategies collect premia that compensate for skew risk.
T3  - CFS working paper series - 550 
KW  - low risk anomaly
KW  - skewness
KW  - credit risk
KW  - risk premia
KW  - equity options
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41869
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-418697
UR  - https://ssrn.com/abstract=2858933
IS  - February 2016
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -