The Low-Risk Anomaly: Evidence From The Thai Stock Market
In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004 and 2015, this paper shows that the abnormal returns associated with investing in low-beta stocks are signifcant and robu...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM)
2017
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| Subjects: | |
| Online Access: | http://eprints.usm.my/37209/ http://eprints.usm.my/37209/1/aamjaf13012017_6.pdf |
| _version_ | 1848878129017257984 |
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| author | Saengchote, Kanis |
| author_facet | Saengchote, Kanis |
| author_sort | Saengchote, Kanis |
| building | USM Institutional Repository |
| collection | Online Access |
| description | In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns
compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004
and 2015, this paper shows that the abnormal returns associated with investing in low-beta
stocks are signifcant and robust. The zero-cost portfolio that longs low-beta stocks and
shorts high-beta stocks delivers monthly four-factor alpha of 1.26%. This paper provides
suggestive evidence that, in addition to leverage constraints, the low-risk anomaly can be
caused by institutional designs that favour stocks that are index constituents. |
| first_indexed | 2025-11-15T17:26:25Z |
| format | Article |
| id | usm-37209 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:26:25Z |
| publishDate | 2017 |
| publisher | Asian Academy of Management (AAM) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-372092017-10-20T00:39:57Z http://eprints.usm.my/37209/ The Low-Risk Anomaly: Evidence From The Thai Stock Market Saengchote, Kanis HD28-70 Management. Industrial Management In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004 and 2015, this paper shows that the abnormal returns associated with investing in low-beta stocks are signifcant and robust. The zero-cost portfolio that longs low-beta stocks and shorts high-beta stocks delivers monthly four-factor alpha of 1.26%. This paper provides suggestive evidence that, in addition to leverage constraints, the low-risk anomaly can be caused by institutional designs that favour stocks that are index constituents. Asian Academy of Management (AAM) 2017 Article PeerReviewed application/pdf en http://eprints.usm.my/37209/1/aamjaf13012017_6.pdf Saengchote, Kanis (2017) The Low-Risk Anomaly: Evidence From The Thai Stock Market. Asian Academy of Management Journal of Accounting and Finance, 13 (1). pp. 1-16. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/aamjaf13012017/aamjaf13012017_6.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Saengchote, Kanis The Low-Risk Anomaly: Evidence From The Thai Stock Market |
| title | The Low-Risk Anomaly: Evidence From The Thai
Stock Market |
| title_full | The Low-Risk Anomaly: Evidence From The Thai
Stock Market |
| title_fullStr | The Low-Risk Anomaly: Evidence From The Thai
Stock Market |
| title_full_unstemmed | The Low-Risk Anomaly: Evidence From The Thai
Stock Market |
| title_short | The Low-Risk Anomaly: Evidence From The Thai
Stock Market |
| title_sort | low-risk anomaly: evidence from the thai
stock market |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/37209/ http://eprints.usm.my/37209/ http://eprints.usm.my/37209/1/aamjaf13012017_6.pdf |