how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …

idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their …We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states …

managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through …

constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …