@article {Blitz1, author = {David Blitz and Eric Falkenstein and Pim van Vliet}, editor = {Bollen, Jennifer}, title = {Practical Applications of Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions }, volume = {2}, number = {3}, pages = {1--4}, year = {2015}, doi = {10.3905/pa.2015.2.3.080}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions David Blitz Eric Falkenstein Pim van Vliet {\textquotedblleft}You are never going to get on the cover of Bloomberg Magazine unless you take big risks,{\textquotedblright} says Eric Falkenstein, a Quantitative Strategist at Pine River Capital Management in New York.And therein lies the quite rational, all-to-human reason why investors place big bets on high-volatility stocks: The misguided belief that they promise a big pay-off{\textemdash}and greater glory.In Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions , Falkenstein and his co-authors David Blitz , Head of Quantitative Equity Research at Robeco Asset Management , and Pim van Vliet , a Portfolio Manager for low-volatility strategies at Robeco examine the theoretical assumptions behind the capital asset pricing model (CAPM) and how violations of these assumptions in practice explain the volatility effect.}, issn = {2329-0196}, URL = {https://pa.pm-research.com/content/2/3/1.3}, eprint = {https://pa.pm-research.com/content/2/3/1.3.full.pdf}, journal = {Practical Applications} }