Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly

Financial Analysts Journal - Tập 67 Số 1 - Trang 40-54 - 2011
Malcolm Baker1, Brendan Bradley2, Jeffrey Wurgler3
1Malcolm Baker is professor of finance at Harvard Business School, research associate at the National Bureau of Economic Research, and senior consultant at Acadian Asset Management, Boston.
2Brendan Bradley is director of managed volatility strategies at Acadian Asset Management, Boston.
3Jeffrey Wurgler is professor of finance at New York University Stern School of Business, research associate at the National Bureau of Economic Research, and senior consultant at Acadian Asset Management, Boston.

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Financial Analysts Journal

Tập 67 Số 1

40-54

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