In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a …

Based on intraday data for a large cross section of individual stocks, we find that the risk component of stock returns … until market close at 16:00. Strikingly, the return on the long-short tradable spread portfolio sorted by the risk component … exhibits a similar return momentum, which is the first cross-sectional return momentum in the intraday literature. The risk …

In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta …-hedged option returns. We find strong evidence of risk continuation in option returns. Specifically, options with a high risk … component significantly outperform those with a low risk component. The risk-based option momentum strategy is highly profitable …

significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term …