This paper studies the conjecture that investors prefer derivative markets over the equity market when hedging risks …. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the … that equilibrium risk premiums for assets with large beta uncertainty (long-short portfolio of stocks) decline once …

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 …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …