-quality systematic risk factors from these data. This paper firstdocuments that appropriately screened data from Thomson Reuters … correspondingmomentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value riskfactors. We then build … novel pan-European and country-specific momentum, size, and value risk factors.By comparing our pan-European market returns …

-and-hedge strategy involving taking a longposition in convertible bonds (“CBs”) while hedging the equity risk alone explains a … involved in adjustingthe stock of risk capital managed by a large fund can negatively impact performance when thesupply of CBs … intermediation role of funding CB issuers whilstdistributing part of the equity risk of CBs to the equity market. …

When assets exhibit asymmetric dependence or joint downside risk, diversificationcan fail and financial markets may be … prone to systemic risk. We analyze thedependence structure of risk factors in the US economy, using both correlations anda … parsimonious set of copulas. We find evidence of downside risk in several risk factors.Interestingly for research on systemic risk …

than it has been usually considered in the literature. We study "fundamental" risk factors, which represent multivariate … risk aversion of the consumer volatility matrix of the technological activity returns and argue that they can be defined as …

trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity … increase in both liquidity and risk, with an interaction term whosemagnitude and sign depends on the size of the liquidity … risk factor is consistently priced, while liquidity differentials are priced only for a subset of countries and their …