To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

Prior research shows that momentum returns are unlikely to be explained by risk-based theories. Daniel, Hirshleifer …

income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data … risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor …

We examine the relationship between portfolio risk and equity returns over different investment horizons of …. They also tend to trade for stocks with lower profitability in the bull market. Nevertheless, we find that systematic risk … controlling for systematic risk …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is … risk factor retains its incremental explanatory power when compared to other conditional models such as the conditional …