We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate … cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta … outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as …

volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992 …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive … many considerations, including different numbers of anomalies in the portfolios, subperiod analysis, as well as estimation … of idiosyncratic risk from the alternative models and throughout different periods …

Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity … markets. This research examines the relationship between the country composite risk (together with its component risks related … profitability of the risk-based strategies disappear in the years following the global financial crisis …

We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify … by mispricing rather than risk. In consequence, it is boosted by high limits to arbitrage but gradually diminishes over …

risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We … for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors …