Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms' risk and … flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk … these characteristics in stock returns and risk …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm’s systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we … show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of … operational risk earned a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000. However …

relationship is tested empirically for robustness with other risk factors such as corporate tax rates and industry concentration …

The “low risk anomaly” refers to the empirical pattern that apparently high-risk equities do not earn commensurately … high returns. In this paper, we consider the possibility that the risk anomaly represents mispricing, not a … misspecification of risk, and develop the implications for corporate capital structure. The risk anomaly generates a simple tradeoff …