{"id":"https://openalex.org/W4389081424","doi":"https://doi.org/10.3233/af-220441","title":"Combining low-volatility and mean-reversion anomalies: Better together?","display_name":"Combining low-volatility and mean-reversion anomalies: Better together?","publication_year":2023,"publication_date":"2023-11-28","ids":{"openalex":"https://openalex.org/W4389081424","doi":"https://doi.org/10.3233/af-220441"},"language":"en","primary_location":{"id":"doi:10.3233/af-220441","is_oa":false,"landing_page_url":"https://doi.org/10.3233/af-220441","pdf_url":null,"source":{"id":"https://openalex.org/S4210198154","display_name":"Algorithmic Finance","issn_l":"2157-6203","issn":["2157-6203","2158-5571"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithmic Finance","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5067601740","display_name":"Eero P\u00e4t\u00e4ri","orcid":"https://orcid.org/0000-0002-4536-8701"},"institutions":[{"id":"https://openalex.org/I63548447","display_name":"Lappeenranta-Lahti University of Technology","ror":"https://ror.org/0208vgz68","country_code":"FI","type":"education","lineage":["https://openalex.org/I63548447"]}],"countries":["FI"],"is_corresponding":true,"raw_author_name":"Eero P\u00e4t\u00e4ri","raw_affiliation_strings":["LUT Business School, LUT University, Lappeenranta, Finland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LUT Business School, LUT University, Lappeenranta, Finland","institution_ids":["https://openalex.org/I63548447"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5054465534","display_name":"Sheraz Ahmed","orcid":"https://orcid.org/0000-0001-6836-2030"},"institutions":[{"id":"https://openalex.org/I63548447","display_name":"Lappeenranta-Lahti University of Technology","ror":"https://ror.org/0208vgz68","country_code":"FI","type":"education","lineage":["https://openalex.org/I63548447"]}],"countries":["FI"],"is_corresponding":false,"raw_author_name":"Sheraz Ahmed","raw_affiliation_strings":["LUT Business School, LUT University, Lappeenranta, Finland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LUT Business School, LUT University, Lappeenranta, Finland","institution_ids":["https://openalex.org/I63548447"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5004079721","display_name":"Tuomas Lankinen","orcid":null},"institutions":[{"id":"https://openalex.org/I63548447","display_name":"Lappeenranta-Lahti University of Technology","ror":"https://ror.org/0208vgz68","country_code":"FI","type":"education","lineage":["https://openalex.org/I63548447"]}],"countries":["FI"],"is_corresponding":false,"raw_author_name":"Tuomas Lankinen","raw_affiliation_strings":["LUT Business School, LUT University, Lappeenranta, Finland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LUT Business School, LUT University, Lappeenranta, Finland","institution_ids":["https://openalex.org/I63548447"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039574068","display_name":"Julian Scott Yeomans","orcid":"https://orcid.org/0000-0001-7361-4060"},"institutions":[{"id":"https://openalex.org/I192455969","display_name":"York University","ror":"https://ror.org/05fq50484","country_code":"CA","type":"education","lineage":["https://openalex.org/I192455969"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Julian Scott Yeomans","raw_affiliation_strings":["Schulich School of Business, York University, Toronto, ON, Canada","E-mail:"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Schulich School of Business, York University, Toronto, ON, Canada","institution_ids":["https://openalex.org/I192455969"]},{"raw_affiliation_string":"E-mail:","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5067601740"],"corresponding_institution_ids":["https://openalex.org/I63548447"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.24440536,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"10","issue":"3-4","first_page":"70","last_page":"91"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.991599977016449,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.983299970626831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.8270199298858643},{"id":"https://openalex.org/keywords/reversion","display_name":"Reversion","score":0.6539485454559326},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6465767621994019},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.379472017288208},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3546109199523926},{"id":"https://openalex.org/keywords/chemistry","display_name":"Chemistry","score":0.07566395401954651}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.8270199298858643},{"id":"https://openalex.org/C70883133","wikidata":"https://www.wikidata.org/wiki/Q7318316","display_name":"Reversion","level":4,"score":0.6539485454559326},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6465767621994019},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.379472017288208},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3546109199523926},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.07566395401954651},{"id":"https://openalex.org/C127716648","wikidata":"https://www.wikidata.org/wiki/Q104053","display_name":"Phenotype","level":3,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3233/af-220441","is_oa":false,"landing_page_url":"https://doi.org/10.3233/af-220441","pdf_url":null,"source":{"id":"https://openalex.org/S4210198154","display_name":"Algorithmic Finance","issn_l":"2157-6203","issn":["2157-6203","2158-5571"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithmic Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":73,"referenced_works":["https://openalex.org/W1490914203","https://openalex.org/W1511312407","https://openalex.org/W1511548726","https://openalex.org/W1519286527","https://openalex.org/W1825609847","https://openalex.org/W1909018714","https://openalex.org/W1973315392","https://openalex.org/W1995834279","https://openalex.org/W2005556724","https://openalex.org/W2011747727","https://openalex.org/W2024112545","https://openalex.org/W2039912669","https://openalex.org/W2047008257","https://openalex.org/W2047934063","https://openalex.org/W2052752492","https://openalex.org/W2061807031","https://openalex.org/W2063918865","https://openalex.org/W2079346266","https://openalex.org/W2100526182","https://openalex.org/W2106798814","https://openalex.org/W2113305199","https://openalex.org/W2115743302","https://openalex.org/W2117178635","https://openalex.org/W2135052744","https://openalex.org/W2136120210","https://openalex.org/W2141673418","https://openalex.org/W2144487825","https://openalex.org/W2163969674","https://openalex.org/W2171616432","https://openalex.org/W2179963034","https://openalex.org/W2182051792","https://openalex.org/W2320868325","https://openalex.org/W2559831142","https://openalex.org/W2735144145","https://openalex.org/W2766612460","https://openalex.org/W2768427602","https://openalex.org/W2914942385","https://openalex.org/W2971432117","https://openalex.org/W2989619125","https://openalex.org/W2996786845","https://openalex.org/W3107430331","https://openalex.org/W3121764760","https://openalex.org/W3121892970","https://openalex.org/W3121965529","https://openalex.org/W3121992633","https://openalex.org/W3122516690","https://openalex.org/W3122668391","https://openalex.org/W3122682831","https://openalex.org/W3122843332","https://openalex.org/W3122942322","https://openalex.org/W3122942895","https://openalex.org/W3123162925","https://openalex.org/W3123406900","https://openalex.org/W3124154869","https://openalex.org/W3124520191","https://openalex.org/W3124709007","https://openalex.org/W3124930210","https://openalex.org/W3125407579","https://openalex.org/W3125492476","https://openalex.org/W3125667802","https://openalex.org/W3125756421","https://openalex.org/W3125807918","https://openalex.org/W3125951730","https://openalex.org/W3126122605","https://openalex.org/W4211134865","https://openalex.org/W4230576380","https://openalex.org/W4231546411","https://openalex.org/W4241584625","https://openalex.org/W4242067316","https://openalex.org/W4243760387","https://openalex.org/W4250762315","https://openalex.org/W4252519795","https://openalex.org/W4320351754"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2033210022","https://openalex.org/W2093399047","https://openalex.org/W2385182213","https://openalex.org/W2071006786","https://openalex.org/W2065755627","https://openalex.org/W4299533470","https://openalex.org/W2384316872","https://openalex.org/W2944143400","https://openalex.org/W2753588648"],"abstract_inverted_index":{"This":[0],"paper":[1],"contributes":[2],"to":[3,14],"the":[4,12,16,24,60,69,77,91,94,99,105,113],"existing":[5],"stock":[6],"market":[7],"anomaly":[8],"literature":[9],"by":[10],"being":[11],"first":[13],"analyze":[15],"benefits":[17],"of":[18,56,71,93,107],"combining":[19],"two":[20,38],"distinct":[21],"anomalies;":[22],"specifically,":[23],"low-volatility":[25,72,123],"and":[26],"mean-reversion":[27],"anomalies.":[28],"Our":[29],"results":[30],"show":[31],"that":[32,49,117],"on":[33],"a":[34,45],"long-only":[35],"basis,":[36],"these":[37],"time-varying":[39],"anomalies":[40],"could":[41],"be":[42],"combined":[43],"into":[44],"double-sort":[46,95],"investment":[47],"strategy":[48],"includes":[50],"some":[51],"desirable":[52],"characteristics":[53],"from":[54,76,104],"each":[55],"them,":[57],"thereby":[58],"making":[59],"portfolio":[61],"return":[62],"accumulation":[63],"more":[64],"stable":[65],"over":[66],"time.":[67],"As":[68],"added-value":[70],"investing":[73],"stems":[74],"mostly":[75],"risk-reduction":[78],"side,":[79],"while":[80],"contrarian":[81,100,126],"stocks":[82,101,110],"are":[83,102],"generally":[84],"highly":[85],"volatile":[86],"with":[87],"remarkable":[88],"upside":[89],"potential,":[90],"use":[92],"portfolio-formation":[96],"in":[97],"which":[98],"picked":[103],"sub-set":[106],"below-median":[108],"volatility":[109],"can":[111],"shorten":[112],"below-market":[114],"performance":[115],"periods":[116],"have":[118],"occasionally":[119],"materialized":[120],"for":[121],"plain":[122,125],"or":[124],"investors.":[127],"JEL":[128],"classification:":[129],"G11":[130]},"counts_by_year":[],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
