different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …

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 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 …

irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional … dynamic momentum returns are positively skewed and not exposed to risk factors, have high Sharpe ratio and alpha, persist in …