KJCKorea
Journal Central

@article{ART002163379},
author={Jinho Byun and Hyung-Suk Choi and Kim Su-in},
title={Low Volatility Anomaly and Stock Returns},
journal={Asset Management Review},
issn={2288-6672},
year={2016},
volume={4},
number={1},
pages={1-16}

TY - JOUR
AU - Jinho Byun
AU - Hyung-Suk Choi
AU - Kim Su-in
TI - Low Volatility Anomaly and Stock Returns
JO - Asset Management Review
PY - 2016
VL - 4
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 16
SN - 2288-6672
AB - We investigate if low volatility anomaly is observed mainly in a certain market condition. We expect that low volatility anomaly can be explained by investor’s judgement bias depending on the market condition. To examine how low volatility anomaly depends on the market condition, we use coincident composite index, reference turning date and sentiment index to divide the market condition into boom and recession. Our analysis results show that high-risk stock return has been lower than low-risk stock return since the early 2000s, especially during the recession. This results suggest that the investor’s judgement bias is observed markedly during the recession since high-risk stock is overvalued in the boom and then overvalued high-risk stock return declines in the recession. This study contributes to the literature by showing the association between low volatility anomaly and the market condition. We provide empirical evidence that the investor’s judgement is affected by the market condition. Our findings suggest the strategy of investing low-risk stock portfolio depending on the market condition to raise returns and diminish risk simultaneously.
KW - Volatility anomaly;Market condition;Investor’s judgemental bias
DO -
UR -
ER -

Jinho Byun, Hyung-Suk Choi and Kim Su-in. (2016). Low Volatility Anomaly and Stock Returns. Asset Management Review, 4(1), 1-16.

Jinho Byun, Hyung-Suk Choi and Kim Su-in. 2016, "Low Volatility Anomaly and Stock Returns", Asset Management Review, vol.4, no.1 pp.1-16.

Jinho Byun, Hyung-Suk Choi, Kim Su-in "Low Volatility Anomaly and Stock Returns" Asset Management Review 4.1 pp.1-16 (2016) : 1.

Jinho Byun, Hyung-Suk Choi, Kim Su-in. Low Volatility Anomaly and Stock Returns. 2016; 4(1), 1-16.

Jinho Byun, Hyung-Suk Choi and Kim Su-in. "Low Volatility Anomaly and Stock Returns" Asset Management Review 4, no.1 (2016) : 1-16.

Jinho Byun; Hyung-Suk Choi; Kim Su-in. Low Volatility Anomaly and Stock Returns. Asset Management Review, 4(1), 1-16.

Jinho Byun; Hyung-Suk Choi; Kim Su-in. Low Volatility Anomaly and Stock Returns. Asset Management Review. 2016; 4(1) 1-16.

Jinho Byun, Hyung-Suk Choi, Kim Su-in. Low Volatility Anomaly and Stock Returns. 2016; 4(1), 1-16.

Jinho Byun, Hyung-Suk Choi and Kim Su-in. "Low Volatility Anomaly and Stock Returns" Asset Management Review 4, no.1 (2016) : 1-16.