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Understanding defensive equity

Author: Robert Novy-Marx; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2014.
Series: Working paper series (National Bureau of Economic Research), no. 20591.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the poor absolute performance of the most aggressive stocks. In conjunction with the well documented inability of the Fama and French three-factor model to price small growth stocks, especially unprofitable small growth stocks, these tilts also drive the abnormal performance of defensive equity (i.e., low  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Robert Novy-Marx; National Bureau of Economic Research,
OCLC Number: 894916742
Notes: "October 2014"
Description: 1 online resource (38 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 20591.
Responsibility: Robert Novy-Marx.

Abstract:

High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the poor absolute performance of the most aggressive stocks. In conjunction with the well documented inability of the Fama and French three-factor model to price small growth stocks, especially unprofitable small growth stocks, these tilts also drive the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy performance is explained by controlling for size, profitability, and relative valuations, the converse is false -- the performance of value and profitability strategies cannot by explained using defensive equity performance.

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