@article {Agapova107, author = {Anna Agapova and Robert Ferguson and Dean Leistikow}, title = {A Continuous Return Model for the Low-Volatility andLow-Beta Anomalies}, volume = {26}, number = {3}, pages = {107--120}, year = {2017}, doi = {10.3905/joi.2017.26.3.107}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This study shows that a {\textquotedblleft}rational,{\textquotedblright} capital asset pricing model (CAPM) type of positive relationship between short-horizon expected arithmetic return and risk can lead to a negative long-horizon relationship between compound annual return and risk (whether risk is measured by volatility or beta). This result follows from the stochastic portfolio theory relationship that a stock{\textquoteright}s growth rate is less than its expected arithmetic return by approximately one-half its variance of return. The negative long-horizon relationships between return mean and volatility/beta often have been noted and characterized as the low-volatility and low-beta anomalies. Thus, these characterizations may be problematic.TOPICS: Security analysis and valuation, statistical methods}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/3/107}, eprint = {https://joi.pm-research.com/content/26/3/107.full.pdf}, journal = {The Journal of Investing} }