Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Investing

The Journal of Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Stability is the Risk Dimension of Equity Style

Barry Feldman
The Journal of Investing Fall 2014, 23 (3) 98-114; DOI: https://doi.org/10.3905/joi.2014.23.3.098
Barry Feldman
is a senior research analyst in the Russell Indexes Research and Innovation Group at Russell Investments in Chicago, IL.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: bfeldman@russell.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This study tests the relative ability of the Russell Stability Style Indexes to identify company risk. Three forward-looking measures serve as risk proxies: I/B/E/S analyst earnings forecast dispersion, S&P company credit rating, and company expected life—a model-based statistic developed by Northfield Information Services. These measures have low mutual correlation and appear to provide a robust representation of risk at the company level. The factor alternatives to stability tested include beta, volatility, valuation, momentum, size, and quality. Low- and high-risk company samples are constructed for all measures. Forecast dispersion tests are based on differences in sample identification and misidentification rates. Credit rating and expected life tests are based on differences in sample averages. Stability is found to consistently do best at identifying company risk. Almost all results are highly statistically significant. U.S. and global ex-U.S. markets are tested separately. The sample covers the period from 1996 to 2011 and comprises 39,577 company-year observations.

TOPICS: Security analysis and valuation, performance measurement, emerging

  • © 2014 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Investing: 23 (3)
The Journal of Investing
Vol. 23, Issue 3
Fall 2014
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Stability is the Risk Dimension of Equity Style
(Your Name) has sent you a message from The Journal of Investing
(Your Name) thought you would like to see the The Journal of Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Stability is the Risk Dimension of Equity Style
Barry Feldman
The Journal of Investing Aug 2014, 23 (3) 98-114; DOI: 10.3905/joi.2014.23.3.098

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Stability is the Risk Dimension of Equity Style
Barry Feldman
The Journal of Investing Aug 2014, 23 (3) 98-114; DOI: 10.3905/joi.2014.23.3.098
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • CONSTRUCTION OF THE STUDY SAMPLE
    • FORECAST DISPERSION
    • DESCRIPTIVE STATISTICS
    • FORECAST DISPERSION OVER TIME
    • AGGREGATE FORECAST DISPERSION RESULTS
    • CREDIT RATING AS A COMPANY RISK PROXY
    • COMPANY EXPECTED LIFE AS RISK PROXY
    • ROBUSTNESS OF RESULTS
    • ROBUSTNESS OF FORECAST DISPERSION RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy