Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

when the markets offer high returns. ECINF is not only a priced risk factor, but the most significant factor in our asset … pricing tests, which suggests that ignoring the risk of information asymmetry may give rise to false discoveries of anomalies …. As a case in point, we show that momentum anomalies disappear once we control for the risk of information asymmetry. This …

We study the link between beta predictability and the price of risk. An investor who desires exposure to a certain risk …'s demand is lower when betas are hard to predict, leading to a reduction in risk premiums. We test the implications for … downside betas and VIX betas. We find that they have economically and statistically small prices of risk once we account for …

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we … show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of … operational risk earned a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000. However …