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 robu...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM)
2017
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| Online Access: | http://eprints.usm.my/37209/1/aamjaf13012017_6.pdf |
| Summary: | 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. |
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