Showing 1 - 10 of 35
Persistent link: https://www.econbiz.de/10015046305
Persistent link: https://www.econbiz.de/10002770669
Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …
Persistent link: https://www.econbiz.de/10013114947
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …
Persistent link: https://www.econbiz.de/10013115093
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …
Persistent link: https://www.econbiz.de/10013115129
price both systematic (beta and co-skewness) and non-systematic (idiosyncratic volatility) risk when determining the … appropriate rate of return on a security. We demonstrate that price targets contain risk-related information not incorporated into … other ex-ante measures of expected returns, as the risk/reward relations are not present using the other measures. Use of …
Persistent link: https://www.econbiz.de/10013089689
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …
Persistent link: https://www.econbiz.de/10013066432
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …
Persistent link: https://www.econbiz.de/10013066747
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …
Persistent link: https://www.econbiz.de/10013067609
changes by increasing (decreasing) their portfolios' exposure to macroeconomic risk factors when economic uncertainty is high …This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of …
Persistent link: https://www.econbiz.de/10013062452