definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk … portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover …Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …

The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent … important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to … beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact …

This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock … market. We decompose an option- based factor into three main components and identify the one responsible for the beta …-return relationship. Applying this method to the bear risk factor proposed by Lu and Murray (2019) reveals that the negative correlation …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …