• June 2019 CFA Exam Level III Results: Level III exam results are being emailed to candidates on 20 August 2019, after 9:00 a.m. ET. Email delivery service varies so we cannot guarantee an exact delivery time.

    Access your detailed exam result


The authors explored whether the well-publicized anomalous returns associated with low-volatility stocks can be attributed to market mispricing or to compensation for higher systematic factor risk. The results of their study, covering a 46-year period, indicate that the relatively high returns of low-volatility portfolios cannot be viewed solely as compensation for systematic factor risk. The results from their cross-sectional analyses indicate that average returns to low-volatility portfolios are determined by common variations associated with the idiosyncratic-volatility characteristic rather than factor loadings. This finding suggests that the excess returns are more likely driven by market mispricing connected with volatility as a stock characteristic.

About the Author(s)

Xi Li

Xi Li is an associate professor of finance at the University of Arkansas, Fayetteville.

Rodney N. Sullivan CFA
Image of Luis Garcia Feijóo
Luis Garcia-Feijóo CFA, CIPM

Dr. Luis García-Feijóo, CFA, CIPM, is an associate professor of finance at Florida Atlantic University (FAU), where he teaches investments and international finance. He also serves as associate editor of the Financial Analysts Journal and as associate research director for CFA Institute Research Foundation. Prior to joining FAU, Dr. García worked as director, exam development, at CFA Institute, and was an associate professor at Creighton University. He has published his research in leading academic and practitioner journals, such as the Journal of Finance, Review of Asset Pricing Studies, Journal of Banking and Finance, Financial Analysts Journal, and Journal of Portfolio Management. Dr. García is co-author of the book Invest with the Fed: How to Maximize Portfolio Performance following Federal Reserve Policy. He holds a PhD in finance from the University of Missouri-Columbia. Dr. García actively served on the Board of Directors of the CFA Society of South Florida from 2009 to 2014 and has been an active volunteer for CFA Institute since 2009.

1 CE

Manage your Continuing Education credits

Additional Information

Published by CFA Institute

12 pages


ISSN: 0015-198X

We’re using cookies, but you can turn them off in Privacy Settings. If you use the site without changing settings, you are agreeing to our use of cookies. Learn more in our Privacy Policy.