We test whether bear market risk - time-variation in the probability of future bear market states - is priced. We … returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected … predicts future bear market risk exposure. We conclude that bear market risk is priced in the cross-section of stock returns …

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array … to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

Market. The contribution of size and systematic risk towards the behaviour of the Value Anomaly is studied. We observe that …

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

regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by … ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real … in the local beta will lead to a 4.5% increase in the annual return. Investors can use REITs’ location risk as an …