designed to spread the excess risk more widely among international investors (risk securitization). The paper reviews these … developments and stresses their significance with respect to the economic theory of risk exchanges. Special attention is devoted to …

buying recent winners and shorting recent losers appears profitable in the post 1945 era. In contrast, the risk exposure of … such a strategy has not been well understood; the strategy's unconditional average risk exposure can be deceptive. The … accordance with the performance of the common risk factors during the periods in which stocks were ranked to determine their …