The Low-Risk Effect in Equities: Evidence from Industry Data in an Earlier Time
使用1871-1925年美国行业数据重新检验低风险效应，发现该效应在早期数据中同样显著，表明其并非数据挖掘的产物，且市场摩擦较少时效应更强，暗示交易成本、非流动性和行为偏差可能起重要作用。
Recently, there has been discussion of a “replication crisis” in Finance, where many empirical results in financial research are said not to be replicable. Previous research finds that low-risk stocks have higher returns than higher-risk stocks on a risk-adjusted basis. We reexamine the low-risk effect using a unique dataset for U.S. industries from 1871 to 1925. We confirm the presence of the effect for portfolios of U.S. industries, indicating that the low-risk effect is not due to data mining in previous studies. Comparing the results to that for more recent data, we find that the overall effect is at least as strong in the earlier data. Given that some market frictions were fewer in the earlier period, the results suggest that implicit trading costs, illiquidity, and/or behavioral biases may play an important role in the low-risk effect.