such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

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 …

the Capital Asset Pricing Model (CAPM) to derive an operational criterion for the optimal risk management of firms. The …Current methods of risk management focus on efficiency and do not provide operational answers to the basic question of … how to optimise and balance the two objectives, maximisation of expected income and minimisation of risk. This paper uses …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …In financial economics, numerous theoretical models explain the relationship between investment risk and return in the … capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this …

beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …

controlling for diversification benefits and the elimination of the exchange rate risk, we show that cross-border portfolio flows …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … – and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …