Master Thesis Online
An analysis of the low-volatility anomaly
Jacqmin, Rémy 
Promotor(s) :
Hübner, Georges
Date of defense : 23-Jun-2016/28-Jun-2016 • Permalink : http://hdl.handle.net/2268.2/1240
Remy_Jacqmin_MasterThesis.pdfDetails
| Title : | An analysis of the low-volatility anomaly |
| Author : | Jacqmin, Rémy
|
| Date of defense : | 23-Jun-2016/28-Jun-2016 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Bazgour, Tarik
Heck, Stéphanie
|
| 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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The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.