In many developed countries, low-risk stocks tend to earn superior risk-adjusted returnsudcompared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004udand 2015, this paper shows that the abnormal returns associated with investing in low-betaudstocks are signifcant and robust. The zero-cost portfolio that longs low-beta stocks andudshorts high-beta stocks delivers monthly four-factor alpha of 1.26%. This paper providesudsuggestive evidence that, in addition to leverage constraints, the low-risk anomaly can beudcaused by institutional designs that favour stocks that are index constituents.
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