Volatility Effect: An Application on the German Stock Market

Efekt nízkého rizika: Aplikace na německý akciový trh

Jan Bastin

Český finanční a účetní časopis, 2015, vol. 2015, issue 1, 36-54

Abstract: The analysis demonstrates parameters of ten portfolios formed by ranking historical risk in the period 1999-2000 on the German stock market. Low volatility portfolios (or low beta portfolios) are able to have similar returns/outperform the market with lower risk. The performances of high volatility portfolios are poor relative to the market. Similar results are present on risk-adjusted basis.

Keywords: Volatility effect; Anomaly; Risk; Efekt volatility; Anomálie; Riziko (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.18267/j.cfuc.435

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