RT Journal Article
SR Electronic
T1 Practical Applications of Explanations for the Volatility Effect: <em>An Overview Based on the CAPM Assumptions</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2015.2.3.080
VO 2
IS 3
A1 David Blitz
A1 Eric Falkenstein
A1 Pim van Vliet
A1 Jennifer Bollen
YR 2015
UL https://pm-research.com/content/2/3/1.3.abstract
AB Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions David Blitz Eric Falkenstein Pim van Vliet “You are never going to get on the cover of Bloomberg Magazine unless you take big risks,” says Eric Falkenstein, a Quantitative Strategist at Pine River Capital Management in New York.And therein lies the quite rational, all-to-human reason why investors place big bets on high-volatility stocks: The misguided belief that they promise a big pay-off—and greater glory.In Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions , Falkenstein and his co-authors David Blitz , Head of Quantitative Equity Research at Robeco Asset Management , and Pim van Vliet , a Portfolio Manager for low-volatility strategies at Robeco examine the theoretical assumptions behind the capital asset pricing model (CAPM) and how violations of these assumptions in practice explain the volatility effect.