This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

Prior research shows that momentum returns are unlikely to be explained by risk-based theories. Daniel, Hirshleifer … strategies. Motivated by these studies, we examine the relationship between cognitive biases and the profitability of price and … level of individualism in different countries is positively associated with the profitability of price and earnings momentum …

to the data. Conditional on reasonable risk aversion, we find that the data is consistent with infrequent portfolio …

diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, different … generally share a joint exposure to systematic risk. Equilibrium in this case can be approximated by a concave relation between … market beta. We estimate that the market-risk premium is at least five to six percent per annum for the average stock …