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David Blitz
Researcher at Robeco
Publications - 107
Citations - 2121
David Blitz is an academic researcher from Robeco. The author has contributed to research in topics: Capital asset pricing model & Volatility (finance). The author has an hindex of 21, co-authored 97 publications receiving 1853 citations.
Papers
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The Volatility Effect
David Blitz,Pim van Vliet +1 more
TL;DR: There is empirical evidence that stocks with low historical volatility have high risk-adjusted returns, with annual alpha spreads of global low-versus high-volatility decile portfolios of 12 percentage points over 1986-2006 as discussed by the authors.
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The Volatility Effect: Lower Risk Without Lower Return
David Blitz,Pim van Vliet +1 more
TL;DR: In this paper, the authors present empirical evidence that stocks with low volatility earn high risk-adjusted returns, and argue that investors should include low risk stocks as a separate asset class in the strategic asset allocation phase of their investment process.
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The Volatility Effect in Emerging Markets
TL;DR: This paper examined the empirical relation between risk and return in emerging equity markets and found that this relation is flat, or even negative, and argued that the volatility effect in emerging markets is only weakly related to that in developed equity markets, which argues against a common factor explanation.
Journal ArticleDOI
The volatility effect in emerging markets
TL;DR: This article examined the empirical relation between risk and return in emerging equity markets and found that this relation is flat, or even negative, and argued that the volatility effect in emerging markets is only weakly related to that in developed equity markets, which argues against a common factor explanation.
Journal ArticleDOI
Sin Stocks Revisited: Resolving the Sin Stock Anomaly
David Blitz,Frank J. Fabozzi +1 more
TL;DR: In this paper, the authors further investigate the notion that sin stocks are shunned to such an extent that they become systematically underpriced, enabling investors who are willing to bear the reputation risk involved with investing in these stocks to earn a return premium.