Range-based volatility, expected stock returns, and the low volatility anomaly

• Benjamin M. Blau ,

  Contributed equally to this work with: Benjamin M. Blau, Ryan J. Whitby

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Project administration, Writing – original draft, Writing – review & editing

  * E-mail: ben.blau@usu.edu

  Affiliation Department of Economics and Finance, Jon M. Huntsman School of Business, Utah State University, Logan, Utah, United States of America

  http://orcid.org/0000-0002-5260-3378

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• Ryan J. Whitby

  Contributed equally to this work with: Benjamin M. Blau, Ryan J. Whitby

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Project administration, Writing – original draft, Writing – review & editing

  Affiliation Department of Economics and Finance, Jon M. Huntsman School of Business, Utah State University, Logan, Utah, United States of America

  ⨯