The Low-Risk Anomaly: Evidence From The Thai Stock Market

The Low-Risk Anomaly: Evidence From The Thai Stock Market

In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004 and 2015, this paper shows that the abnormal returns associated with investing in low-beta stocks are signifcant and robust....

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Bibliographic Details
Main Author: Saengchote, Kanis (Author)
Format: Article
Language:English
Published: Asian Academy of Management (AAM), 2017.
Subjects:
HD28-70 Management. Industrial Management
Online Access:Get fulltext
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100 1 0 |a  Saengchote, Kanis  |e author 
245 0 0 |a The Low-Risk Anomaly: Evidence From The Thai Stock Market 
260 |b Asian Academy of Management (AAM),   |c 2017. 
856 |z Get fulltext  |u http://eprints.usm.my/37209/1/aamjaf13012017_6.pdf 
520 |a In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004 and 2015, this paper shows that the abnormal returns associated with investing in low-beta stocks are signifcant and robust. The zero-cost portfolio that longs low-beta stocks and shorts high-beta stocks delivers monthly four-factor alpha of 1.26%. This paper provides suggestive evidence that, in addition to leverage constraints, the low-risk anomaly can be caused by institutional designs that favour stocks that are index constituents. 
546 |a en 
650 0 4 |a HD28-70 Management. Industrial Management 

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