-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong …

model is able to accommodate investors who exhibit different risk behaviors (from conservatives to risky investors) by …

due to heightened correlations and similar risk features between asset classes, and rather the research delves into risk …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …