May. 21, 2015
Speaker : Aureliano Gentilini , Head of Research, STOXX Ltd.
LOW-RISK-BASED INVESTING HAS REWARDED INVESTORS OVER LONGER PORTFOLIO HOLDING PERIODS. THE FACT THAT LOW-RISK STOCKS HAVE HIGHER EXPECTED RETURNS CONTRADICTS ONE OF THE FOUNDATIONS OF FINANCE THEORY: RISK -BEARING ASSETS ARE EXPECTED TO GENERATE A RETURN PREMIUM.
The findings of Haugen and Heins, who in an original analysis dating back to the mid-1970s started to challenge the generally accepted paradigm of the efficient market hypothesis of Fama, have been confirmed in numerous studies across various markets.
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Anand Venkataraman, CFA, Head of Product Management, Ladi Williams, Product Manager – Index, Qontigo Sep. 21, 2020