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An analysis of the low-volatility anomaly

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Jacqmin, Rémy ULiège
Promotor(s) : Hübner, Georges ULiège
Date of defense : 23-Jun-2016/28-Jun-2016 • Permalink : http://hdl.handle.net/2268.2/1240
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Title : An analysis of the low-volatility anomaly
Author : Jacqmin, Rémy ULiège
Date of defense  : 23-Jun-2016/28-Jun-2016
Advisor(s) : Hübner, Georges ULiège
Committee's member(s) : Bazgour, Tarik ULiège
Heck, Stéphanie ULiège
Language : English
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] The low-volatility anomaly can be described as the fact that low-volatility stocks tend to outperform high-volatility stocks. This finding is not consistent with the CAPM, that quotes that higher returns should come with higher risk. This dissertation aims at describing possible explanations of the low-volatility anomaly.


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  • Jacqmin, Rémy ULiège Université de Liège > Master ingé. gest., fin. spéc. fin. engin. (ex 2e ma.)

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