Betting against correlation: Testing theories of the low-risk effect

We test whether the low-risk effect is driven by leverage constraints and, thus, risk should be measured using beta versus behavioral effects and, thus, risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, with only volatility related to idiosyncratic risk. We i...

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Bibliographic Details
Published in:	Journal of financial economics Vol. 135; no. 3; pp. 629 - 652
Main Authors:	Asness, Cliff, Frazzini, Andrea, Gormsen, Niels Joachim, Pedersen, Lasse Heje
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.03.2020 Elsevier Sequoia S.A
Subjects:	Asset pricing Behavioral economics Constraints Correlation analysis Economic models Financial economics Gambling Leverage Leverage constraints Lottery demand Margin Risk Risk behavior Risk factors Sentiment Theory Theory of constraints Lottery demand Leverage constraints G02 G12 G15 G14 Asset pricing Sentiment Margin
ISSN:	0304-405X, 1879-2774
Online Access:	Get full text
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