Re-Evaluation of the Low-Risk Anomaly in Finance via Matching

Keywords

Anomaly (physics), Matching (statistics), Anomaly detection, Finance, Business

References

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• The Cross-Section of Volatility and Expected ReturnsAndrew Ang, Robert J. Hodrick, Yuhang Xing — 2006
• The Low-Risk Anomaly: A Decomposition into Micro and Macro EffectsMalcolm Baker, Brendan Bradley, Ryan Taliaferro — 2014
• Asset Pricing with Liquidity RiskViral V. Acharya, Lasse Heje Pedersen — 2005
• Estimating causal effects of treatments in randomized and nonrandomized studies.Donald B. Rubin — 1974
• Matching as Nonparametric Preprocessing for Reducing Model Dependence in Parametric Causal InferenceDaniel E. Ho, Kosuke Imai, Gary King — 2007
• Differential Audit Quality, Propensity Score Matching and Rosenbaum Bounds for Confounding VariablesMichael J. Peel, Gerald Makepeace — 2012
• Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility AnomalyMalcolm Baker, Brendan Bradley, Jeffrey Wurgler — 2011
• The Cross‐Section of Expected Stock ReturnsEugene F. Fama, Kenneth R. French — 1992
• High idiosyncratic volatility and low returns: International and further U.S. evidenceAndrew Ang, Robert J. Hodrick, Yuhang Xing — 2008
• The Volatility Effect: Lower Risk Without Lower ReturnDavid Blitz, Pim van Vliet — 2007
• The volatility effect in emerging marketsDavid Blitz, Juan Pang, Pim van Vliet — 2013
• The Use of Matched Sampling and Regression Adjustment to Remove Bias in Observational StudiesDonald B. Rubin — 1973
• StreetwiseFabozzi, Frank J., Bernstein, Peter L. edt — 1998
• Benchmarks as Limits to Arbitrage: Understanding the Low Volatility AnomalyJeffrey Wurgler, Brendan Bradley, Malcolm Baker — 2010

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