What is it about?
Here is why low beta stocks need not have higher returns than high beta stocks in order for portfolios of low beta stocks to have higher returns than portfolios of high beta stocks.
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Why is it important?
It is widely believed that because portfolios of low beta stocks have higher returns than portfolios of high beta stocks it must be that low beta stocks have higher returns than high beta stocks. This paper shows why this belief is wrong.
Perspectives
This paper shows that the "Low Beta Anomaly" may not be an anomaly and may not imply any unusual relation between risk and return.
Dr. Robert Ferguson
Read the Original
This page is a summary of: Stochastic portfolio theory and the low beta anomaly, European Journal of Finance, October 2018, Taylor & Francis,
DOI: 10.1080/1351847x.2018.1531901.
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