Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287561 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 22 [Issue:] 5 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2021 [Pages:] 338-349
Publisher: 
Palgrave Macmillan UK, London
Abstract: 
This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest stand-alone performance among all these factors. Our findings are robust across sectors and over time, and consistent with previous empirical evidence for the US and international markets. Moreover, the VOL premium exhibits excellent investability characteristics, as it involves a low turnover and remains strong when applied to only the largest and most liquid stocks. Our results imply that the volatility effect is a highly pervasive phenomenon, and that explanations should be able to account for its presence in highly institutionalized markets, such as the US, but also in the Chinese market where private investors dominate trading.
Subjects: 
China A shares
Low risk
Low volatility
Low beta
Minimum variance
Anomaly
Value
Size
Momentum
Profitability
Investments
Smart beta
Low-volatility investing
JEL: 
G11
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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