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Autoren: 
Schneider, Paul
Wagner, Christian
Zechner, Josef
Datum: 
2016
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 550
Zusammenfassung: 
This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns con- cisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the standard capital as- set pricing model increasingly overestimates required equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta/volatility increases with firms' downside risk. Our results suggest that the returns to betting against beta/volatility do not necessarily pose asset pricing puzzles but rather that such strategies collect premia that compensate for skew risk.
Schlagwörter: 
low risk anomaly
skewness
credit risk
risk premia
equity options
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