weekly data and prospect theory for monthly data. The results demonstrate that the risk of a stock can be underestimated or …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …