TY - JOUR T1 - A Continuous Return Model for the Low-Volatility and<br/>Low-Beta Anomalies JF - The Journal of Investing SP - 107 LP - 120 DO - 10.3905/joi.2017.26.3.107 VL - 26 IS - 3 AU - Anna Agapova AU - Robert Ferguson AU - Dean Leistikow Y1 - 2017/08/31 UR - https://pm-research.com/content/26/3/107.abstract N2 - This study shows that a “rational,” capital asset pricing model (CAPM) type of positive relationship between short-horizon expected arithmetic return and risk can lead to a negative long-horizon relationship between compound annual return and risk (whether risk is measured by volatility or beta). This result follows from the stochastic portfolio theory relationship that a stock’s growth rate is less than its expected arithmetic return by approximately one-half its variance of return. The negative long-horizon relationships between return mean and volatility/beta often have been noted and characterized as the low-volatility and low-beta anomalies. Thus, these characterizations may be problematic.TOPICS: Security analysis and valuation, statistical methods ER -