The Missing Risk Premium: Why Low Volatility Investing Works - Softcover

Falkenstein, Eric G.

  • 3.93 out of 5 stars
    71 ratings by Goodreads
 
9781470110970: The Missing Risk Premium: Why Low Volatility Investing Works
Softcover
ISBN 10: 1470110970 ISBN 13: 9781470110970
Publisher: CreateSpace Independent Publishing Platform, 2012

Synopsis

Risk is the deviation from the consensus rather than an exposure to a covariance, and this implies there is no risk premium in general. It also implies that when there are a large number of people buying highly volatile assets, such assets will have negative returns in equilibrium. As there are several independent motivations for people to buy highly volatile assets, intuitively risky assets generally have lower-than-average returns. This novel conception of risk implies many things more consistent with the data than the current theory. Risk taking is an important life skill, so understanding its nature is important, and unfortunately academics who study it full-time are like so many other experts: when not irrelevant, 180 degrees wrong. This book explains the current asset pricing theory, and proposes an alternative, using theory and a unique survey of the data across many asset classes. Familiarity with some MBA level finance is helpful but not necessary to appreciate this book.

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Review

"In this contrarian view of the asset pricing model, Falkenstein attempts to debunk the notion that greater risk equals greater reward...The author's conclusion is likely to be controversial in some circles, if not downright inflammatory" - Kirkus

"About this title" may belong to another edition of this title.

Publisher
CreateSpace Independent Publishing Platform
Publication date
2012
Language
English
ISBN 10 
1470110970
ISBN 13 
9781470110970
Binding
Paperback
Edition number
1
Number of pages
196
Rating
  • 3.93 out of 5 stars
    71 ratings by Goodreads