We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of … stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also … dependent on the level of risk considered. The proposed positive trade-off is mainly observed during low volatility periods and …

uncover a marked and near ubiquitous decline in diversification, which coincides with sharply higher levels of investment risk … asset class and geographic diversification of investment risk in an increasingly flat world …

period. Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as … opportunity is associated with sharply higher levels of investment risk …

Asset diversification has long been fundamental to investment risk mitigation. We compute new long-term country … risk. Country-level panel analysis indicates that declines in diversification potential are associated with increases in … the TED spread, country economic development, internet diffusion, political risk, and institutional ownership …

We study the out-of-sample predictability of the real price of crude oil using forecast combinations constructed from …-change forecast at horizons ranging from 1 to 24 months with statistically significant MSFE reductions and directional accuracy. In …

We re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor …, volatility timing, and reward-to-risk timing strategies). We find that, for all portfolio strategies, commodity and currency … futures do not improve the risk-return trade-off of an investor with an existing portfolio of traditional assets (stocks and …

financial systemic risk measures previously employed in the literature for the same task …

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper … by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum … measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama …

horizon. The findings suggest that while downside risk measures are useful in the computation of an optimal hedge ratio that …