英文标题：
《Deconstructing the Low-Vol Anomaly》
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作者：
S. Ciliberti, Y. Lemp\\\'eri\\`ere, A. Beveratos, G. Simon, L. Laloux, M.
Potters, J. P. Bouchaud
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最新提交年份：
2015
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英文摘要：
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others hitherto not clearly discussed in the literature. Our most significant message is that the low-vol anomaly is the result of two independent effects. One is the striking negative correlation between past realized volatility and dividend yield. Second is the fact that ex-dividend returns themselves are weakly dependent on the volatility level, leading to better risk-adjusted returns for low-vol stocks. This effect is further amplified by compounding. We find that the low-vol strategy is not associated to short term reversals, nor does it qualify as a Risk-Premium strategy, since its overall skewness is slightly positive. For practical purposes, the strong dividend bias and the resulting correlation with other valuation metrics (such as Earnings to Price or Book to Price) does make the low-vol strategies to some extent redundant, at least for equities.
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中文摘要：
我们研究了所谓的低vol和低beta异常的几个方面，其中一些已经被记录在案（例如影响在不同地理区域的普遍性），其他方面迄今尚未在文献中明确讨论。我们最重要的信息是，低vol异常是两个独立影响的结果。一是过去实现的波动率与股息率之间存在显著的负相关。第二个事实是，除息收益本身对波动性水平的依赖性很弱，这使得低成交量股票的风险调整收益率更好。这种效应通过复合作用进一步放大。我们发现，低成交量策略与短期反转无关，也不符合风险溢价策略的条件，因为其总体偏度略为正。出于实际目的，强劲的股息偏好以及由此产生的与其他估值指标（如市盈率或账面市盈率）的相关性确实在一定程度上使低成交量策略变得多余，至少对股票而言是如此。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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