-term horizon, by a behavioural view on the market and by a somewhat lower degree of risk aversion, whereas they are like other fund … the risk of momentum trading on short-term horizons and that the short-term oriented momentum traders are not in a …

diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, different … generally share a joint exposure to systematic risk. Equilibrium in this case can be approximated by a concave relation between … market beta. We estimate that the market-risk premium is at least five to six percent per annum for the average stock …

performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

paperinclude prospect theory, the Allais paradox, the computation ofinherent reward and risk, the mean-variance CAPM, and … paradigmassumes that any investment strategy has its own “inherent reward”and “inherent risk” that can be judged with common sense …. Ijustify axiomatically the existence and uniqueness (ratio scale)of inherent reward (U) and inherent risk (D) that could …

firm's ability to improve its productivity growth and profitability. The case study reported here concerns the … in which the dependent variable is alternatively (labor) productivity growth and profitability. Our findings show that … growth and profitability. This suggests that firms pursue different strategies when patenting with the USPTO and the EPO, and …

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit … the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous … benchmark is used to derive efficient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …