Low-volatility anomaly in equities
21 papers on low-volatility anomaly in equities as a systematic trading strategy. Low-volatility anomaly papers on single stocks and equity indices: 21 of the 25 in low-volatility anomaly. 8 name a method, most often linear factor models (7). The most cited is Betting Against Beta (2012).
Papers212007–2026
Share of the family84 %21 of 25
| cited by | method | ||
|---|---|---|---|
| Betting Against Beta by Frazzini and Pedersen | 196 | 2012 | |
| The Volatility Puzzle of the Beta Anomaly by Barroso et al. | 12 | Classical time series | 2021 |
| Managing the Risk of the Beta Anomaly by Barroso et al. | 12 | 2016 | |
| Betting Against Beta in the Indian Market by Agarwalla et al. | 12 | 2014 | |
| The Limits to Arbitrage and the Low-Volatility Anomaly by Li et al. | 12 | 2011 | |
| Understanding the Performance of Components in Betting Against Beta by Han | 9 | 2018 | |
| Informed Option Trading and Stock Market Mispricing by Elkamhi et al. | 2 | 2010 | |
| Street Earnings: Implications for Asset Pricing by Hillenbrand and McCarthy | 1 | 2024 | |
| The Low-Risk Effect, from Betting Against Beta to Betting Against Correlation by Pasetti and Montagna | 1 | 2021 | |
| The Low-volatility Anomaly and the Adaptive Multi-Factor Model by Jarrow et al. | 1 | Linear factor models | 2021 |
| Volatility-Managed Portfolios of Mutual Funds by Gang et al. | 1 | Linear factor models | 2018 |
| Correlation-Gated Risk Budgeting for Equity Factor Portfolios by Guo | 0 | State-space models +1 | 2026 |
| Integrating Geopolitical Risk Into Low Volatility Factor Construction by Kallali et al. | 0 | 2026 | |
| Revisiting the Idiosyncratic Volatility Puzzle in China: Evidence from Deep Learning Models by Wu et al. | 0 | Neural networks +2 | 2026 |
| The Economic Value of Sample Correlation Information in Minimum-Variance Portfolios by Liu and Liu | 0 | 2026 | |
| From the White House to Wall Street: How U.S. Political Regimes and Policy Uncertainty Shape the Low-Risk Anomaly by Velinova | 0 | Linear factor models | 2025 |
| The Volatility Effect in China by Blitz et al. | 0 | Linear factor models | 2021 |
| Low Volatility Needs Little Trading by Vliet | 0 | 2015 | |
| The Betting Against Beta Anomaly: Fact or Fiction? by Buchner and Wagner | 0 | 2015 | |
| Analysis of Idiosyncratic Volatility Effect on Expected Return on Stock that Listed in Indonesia Stock Exchange in 2006-2010 by Chandra and Suardi | 0 | Classical time series +1 | 2013 |
| The Volatility Effect: Lower Risk without Lower Return | 2007 |
Papers on low-volatility anomaly in equities from other families
2 papers| filed under | ||
|---|---|---|
| Low-Beta Puzzles: Implications for Factor Investing by Xu | Factor investing | 2025 |
| Factor investing: alpha concentration versus diversification by Heinrich et al. | Factor investing | 2021 |