• Media type: E-Book
  • Title: On the Performance of Volatility-Managed Equity Factors - International and Further Evidence
  • Contributor: Schwarz, Patrick [Author]
  • Published: [S.l.]: SSRN, [2022]
  • Extent: 1 Online-Ressource (86 p)
  • Language: English
  • DOI: 10.2139/ssrn.3951115
  • Identifier:
  • Keywords: Volatility-managed portfolio ; Transaction costs ; Short-sale constraints ; Arbitrage risk ; Factor timing ; Sentiment ; International stock markets
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 17, 2021 erstellt
  • Description: Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs
  • Access State: Open Access