of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

This paper examines the exposures of low-volatility portfolios to various sources of systematic risk. Our analysis … includes interest rate, implied volatility, liquidity, commodity, sentiment, macroeconomic, and climate risk factors. We find … that low-volatility portfolios lower the exposure to all significant drivers of systematic risk. The risk reductions vary …

-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap … properly. We also find that the ESFs manager's risk aversion can over-turn the risk-shifting incentives when the fund is likely … management (AUM) are nearing the prescribed cash-out boundary. We find that it is more likely for a more risk-averse ESF manager …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk … idiosyncratic risk metrics. Further, we perform a comparative study on the performance of the IMOM portfolios with respect to … various risk metrics. At last, we explore the possible explanations to the IMOM as well as risk-based IMOM portfolios. We find …