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

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

We argue that takeover protections decrease equity value and increase equity risk and stock returns by removing a … at the dynamics of equity prices, equity risk, and stock returns in distressed firms around the enactment of pro- and …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn … about the different sources of risk in the market return, and subsequently to visual and formal diagnosing of asset pricing … the S&P 500. Empirically, downside risk accounts for most of the forward market return, while symmetric tail risk is not …