Explanations for the Volatility Effect: An OverviewBased on the CAPM Assumptions
概述了波动率效应的各种解释，按CAPM假设分类，探讨理性投资者行为如何导致该效应持续存在，并指出CAPM的失败可能带来规范套利机会。
The capital asset pricing model (CAPM) predicts a positive relation between risk and return, but empirical studies find that the actual relation is flat, or even negative. This article provides a broad overview of explanations for this volatility effect and categorizes each explanation according to the CAPM assumption to which it relates. Various explanations relate to investor behavior that is rational, given exogenous incentive structures or constraints, which may explain why the volatility effect has been so persistent over time. The authors argue that, although the CAPM may be bad at explaining reality, addressing the reasons for its failure could actually be a normative arbitrage opportunity. <bold>TOPICS:</bold> <ext-link>Factor-based models</ext-link>, <ext-link>volatility measures</ext-link>, <ext-link>in markets</ext-link>