indicate that unrelated strategy yields a better risk-return performance and creates more value than related strategy. …This paper analyses the relationship between diversification strategy, firm's market-based performance measured in … terms of the risk-return trade-off and value creation. Results from a sample of 41 French industrial diversified firms …

Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size …. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance … (3) have strong frictionless performance. We apply the framework tofour well-known strategies. The capacity of strategies …

We investigate the development of an innovative and high-risk type of borrowing for local governments, known as …

consistent with the portfolio implications of risk-based theories of the value premium … improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away …

Social Security provides insurance against idiosyncratic income risk but exposes workers to systematic risk because … equivalent valuation of Social Security to its net present value discounted at the risk-free rate. I show that, overall, labor … market risk reduces current workers' private value of Social Security by 46%. This adjustment sums up to $11.4 trillions on …