Template-Type: ReDIF-Article 1.0
Author-Name: Kanis Saengchote
Author-Workplace-Name: Department of Banking and Finance, Mahitaladhibesra Building, Chulalongkorn Business School, Chulalongkorn University, Phayathai Road, Pathumwan, Bangkok, 10330, Thailand
Author-Email: kanis@cbs.chula.ac.th
Title: The Low-Risk Anomaly: Evidence from the Thai Stock Market
Abstract: 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 significant 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. 
Keywords: beta, Capital Asset Pricing Model (CAPM), leverage constraints, benchmarking, index inclusion
Pages: 143-158
Volume: 13
Issue: 1
Year: 2017
File-URL: http://web.usm.my/journal/aamjaf/aamjaf13012017/aamjaf13012017_6.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf01301_143-158