A Continuous Return Model for the Low-Volatility andLow-Beta Anomalies
A Agapova, R Ferguson, D Leistikow - The Journal of Investing, 2017 - pm-research.com
This study shows that a “rational,” capital asset pricing model (CAPM) type of positive
relationship between short-horizon expected arithmetic return and risk can lead to a …
relationship between short-horizon expected arithmetic return and risk can lead to a …
Stochastic portfolio theory and the low beta anomaly
A Agapova, R Ferguson, D Leistikow - The European Journal of …, 2019 - Taylor & Francis
Many studies have found that portfolios of low beta stocks have higher growth rates than
portfolios of high beta stocks and have concluded that low beta stocks have higher growth …
portfolios of high beta stocks and have concluded that low beta stocks have higher growth …
[PDF][PDF] Stochastic Portfolio Theory and the Low Beta Anomaly
R Ferguson, D Leistikow, A Agapova - researchgate.net
Many studies have found that portfolios of low beta stocks have higher growth rates than
portfolios of high beta stocks and have concluded that low beta stocks have higher growth …
portfolios of high beta stocks and have concluded that low beta stocks have higher growth …