Resources
A selection of the key research referenced in the book:
Prospect Theory: An Analysis of Decision under Risk
Picking Winners? Investment Consultants’ Recommendations of Fund Managers
The Capital Asset Pricing Model: Some Empirical Tests (Jensen/Black/Scholes 1972)
On the Evidence Supporting the Existence of Risk Premiums in the Capital Market
The Cross-Section of Expected Stock Returns (Fama/French 1992)
Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly
Low Risk Stocks Outperform Within All Observable Markets of the World
The Low Risk Anomaly: A Decomposition into Micro and Macro Effects
The Volatility Effect: Lower Risk Without Lower Return
The Volatility Effect Revisited