A Low-volatility Factor for Standard Models of Stock Returns?
July 2, 2025 - Volatility Effects
Given the body of research on the outperformance of low-risk stocks, should the equity asset pricing community add a low-volatility factor in standard models of stock returns? In their June 2025 paper entitled “Factoring in the Low-Volatility Factor”, Amar Soebhag, Guido Baltussen and Pim van Vliet investigate adding a low-volatility factor to standard models via… Keep Reading