The Betting Against Beta Anomaly: Fact or Fiction?
A 2015 paper by Buchner and Wagner on the low-volatility anomaly in equities: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Consistent with the empirical findings of Frazzini and Pedersen (2014), our pricing errors are negative, increase with leverage, and become economically significant for higher levels of firm leverage.”
AssetEquitiesoptions
StrategyLow-volatility anomalyprediction markets
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodLow-volatility anomaly by year
FamilyLow-volatility anomaly25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities21
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Betting Against Beta by Frazzini and Pedersen | 2012 | ||||
| Correlation-Gated Risk Budgeting for Equity Factor Portfolios by Guo | 2026 | ||||
| Risk-Adjusting the Returns of Private Equity Using the CAPM and Multi-Factor Extensions by Buchner | 2015 | ||||
| The Economic Value of Sample Correlation Information in Minimum-Variance Portfolios by Liu and Liu | 2026 | ||||
| Integrating Geopolitical Risk Into Low Volatility Factor Construction by Kallali et al. | 2026 |