Does interest rate exposure explain the low-volatility anomaly?

被引：4
|
作者：
Driessen, Joost [1 ]
Kuiper, Ivo [1 ,2 ]
Nazliben, Korhan [1 ]
Beilo, Robbert [1 ]
机构：
[1] Tilburg Univ, Finance Dept, POB 90153, NL-5000 LE Tilburg, Netherlands
[2] Kempen Capital Management, POB 75666, NL-1070 AR Amsterdam, Netherlands
来源：
JOURNAL OF BANKING & FINANCE | 2019年 / 103卷
关键词：
CROSS-SECTION; RISK; STOCK; RETURN; PORTFOLIO;
D O I：
10.1016/j.jbankfin.2019.03.013
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have positive exposure. Incorporating an interest rate premium explains part of the anomaly. We also find that the interest rate risk premium in equity markets exhibits time variation similar to bond markets, but that the level of the interest rate premium, as estimated from the cross-section of stocks, is much higher than the premium observed in the bond market. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页码：51 / 61
页数：11
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