This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

sector seems to have the majority of the style-based risk factors as the SMB is positively significant at a 5% level, the HML … factors. These findings highlight the necessity for investors to determine which investment risk elements produce abnormal …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance … performance and risk. The measures chosen are the Annualised Total Return, the Annualised Volatility, the Annualised Sharpe Ratio … and momentum, are able to certify better risk-adjusted returns. …

-sectional econometric techniques to analyze the risk-return relationship implied by the CAPM, using data that span over 5 years and 220 …High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred … only determinant of risk in the South African stock market. We also found positive beta-idiosyncratic volatility (IVOL …