Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR …) and conditional value-at-risk (CVaR). Comparing a bubble and non-bubble economy, it is shown that asset price bubbles … the standard risk measures is due to the increased right skew in a firm value's distribution due to bubble expansion. The …