Český finanční a účetní časopis 2015(1):36-54 | DOI: 10.18267/j.cfuc.435

Volatility Effect: An Application on the German Stock Market

Jan Bastin
Ing. Jan Bastin - doktorand; Katedra bankovnictví a pojišťovnictví, Fakulta financí a účetnictví, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, Praha 3; <xbasj08@vse.cz>.

The analysis demonstrates parameters of ten portfolios formed by ranking historical risk in the period 1999-2000 on the German stock market. Low volatility portfolios (or low beta portfolios) are able to have similar returns/outperform the market with lower risk. The performances of high volatility portfolios are poor relative to the market. Similar results are present on risk-adjusted basis.

Keywords: Volatility effect; Anomaly; Risk.
JEL classification: G10, G11

Published: March 1, 2015  Show citation

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Bastin, J. (2015). Volatility Effect: An Application on the German Stock Market. Czech Financial and Accounting Journal, 2015(1), 36-54. doi: 10.18267/j.cfuc.435
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