The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.
The Volatility Effect
Abstract
There is empirical evidence that stocks with low historical volatility have high risk-adjusted returns, with annual alpha spreads of global low-versus high-volatility decile portfolios of 12 percentage points over 1986-2006. This volatility effect appears independently in U.S., European, and Japanese markets. It is similar in size to classic effects such as value, size, and momentum, and cannot be explained by implicit loadings on these well-known effects. These results indicate that equity investors overpay for risky stocks. Possible explanations include leverage restrictions, inefficient two-step investment processes, and behavioral biases of private investors. To exploit the volatility effect in practice, investors might include low-risk stocks as a separate asset class in the strategic asset allocation phase of the investment process. TOPICS: Portfolio construction , volatility measures , risk management
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
The Cross‐Section of Volatility and Expected Returns
ANG, A., HODRICK, R. J., XING, Y., & ZHANG, X. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00836.x · Cited by 4,508
Capital Market Equilibrium with Restricted Borrowing
Black, F. (1972) · The Journal of Business · doi:10.1086/295472 · Cited by 3,093
The capital asset pricing model: Some empirical tests
Black, F., Jensen, M. C., & Scholes, M. S. (1972) · Cited by 2,674
Shefrin, H., & Statman, M. (2000) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676187 · Cited by 1,038
The Journal of Portfolio Management
(2019) · The Journal of Portfolio Management · doi:10.3905/jpm · Cited by 952
Performance Hypothesis Testing with the Sharpe and Treynor Measures
JOBSON, J. D., & KORKIE, B. M. (1981) · The Journal of Finance · doi:10.1111/j.1540-6261.1981.tb04891.x · Cited by 854
Minimum-Variance Portfolios in the U.S. Equity Market
Clarke, R. G., de Silva, H., & Thorley, S. (2006) · The Journal of Portfolio Management · doi:10.3905/jpm.2006.661366 · Cited by 378
Optimal Decentralized Investment Management
Van BINSBERGEN, J. H., BRANDT, M. W., & KOIJEN, R. S. J. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01376.x · Cited by 165
Cited by
Sawhney, R., Agarwal, S., Wadhwa, A., & Shah, R. R. (2020) · Proceedings of the 2020 Conference on Empirical Methods in Natural Language Processing (EMNLP) · doi:10.18653/v1/2020.emnlp-main.676 · Cited by 146
Metadata
- Authors
- Blitz, D. C., & van Vliet, P.
- Venue
- The Journal of Portfolio Management
- Publisher
- With Intelligence LLC
- Published
- 2007-10-31
- Volume
- 34
- Issue
- 1
- Pages
- 102-113
- ISSN
- 0095-4918 (ISSN-L)
- 2168-8656
- OpenAlex
- W1970205847
- Cited by
- 354
- References
- 10
- FWCI
- 5.31
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: The Volatility Effect. https://app.cochat.ai/papers/10.3905/jpm.2007.698039
- The paper
- Blitz, D. C., & van Vliet, P. (2007). The Volatility Effect. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2007.698039
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
