definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk … portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk … particle physics, this essay bifurcates beta on either side of mean returns and into distinct components reflecting relative … volatility and correlation, as well as cash-flow and discount-rate effects. Splitting the atom of systematic risk answers some of …