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  1. Article

    Open Access

    The Volatility Effect in China

    This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL ...

    David Blitz, Matthias X. Hanauer, Pim van Vliet in Journal of Asset Management (2021)

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  2. No Access

    Article

    Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation

    Solvency II has one standard equity solvency capital requirement for type 1 or developed market stocks (39 per cent) and one for type 2 or emerging market stocks (49 per cent). As such, differences in financia...

    Laurens Swinkels, David Blitz… in The Geneva Papers on Risk and Insurance - … (2018)

  3. No Access

    Article

    An anatomy of calendar effects

    This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effec...

    Laurens Swinkels, Pim van Vliet in Journal of Asset Management (2012)

  4. No Access

    Article

    Dynamic strategic asset allocation: Risk and return across the business cycle

    We propose a practical investment framework for dynamic asset allocation across different phases in the business cycle, which we illustrate using a sample of US data from 1948 to 2007. We identify four phases ...

    Pim van Vliet, David Blitz in Journal of Asset Management (2011)

  5. No Access

    Article

    Market portfolio efficiency and value stocks

    In this journal, Best, Best, and Yoder (2000) recently demonstrated that portfolios of U.S. value stocks dominate portfolios of U.S. growth stocks in terms of second-order stochastic dominance (SSD). We cannot...

    Thierry Post, Pim van Vliet in Journal of Economics and Finance (2004)

  6. No Access

    Chapter and Conference Paper

    Portfolio Return Characteristics of Different Industries

    Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests t...

    Igor Pouchkarev, Jaap Spronk, Pim van Vliet in Modern Concepts of the Theory of the Firm (2004)