attractiveness of gaining exposure to a previously non-traded risk. This setting further overcomes the problem of art market … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat …

correction of mispricing. We show that in order to minimize the risk and the cost of arbitrage an investor who identifies several … mispriced assets optimally advertises only one of them, and overweights it in his portfolio; a risk-neutral arbitrageur invests …

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat …

Aufgabe darin besteht, glaubwürdige Information für Investoren bereitzustellen. Drei Determinanten der Instabilität werden …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … model the 'representative' intermediary uses price pressure to control risk through inventory mean reversion. She trades off …