applications it has been shown by various authors that low risk portfolios outperform the market capitalization weighted portfolio …. We revisit this anomaly using high-frequency data to construct low risk portfolios for the S&P 500 constituents over the … period 2007-2012. The portfolios that we consider are invested in the 100 lowest risk stocks and apply either equal …

risk (beta). Financial leverage and beta are usually considered as two proxies of risk derived from different domains: one … moderating-variable impact of size on the relation between financial leverage and systematic risk. On the other hand, however … leverage and systematic risk were well documented. Inter-temporally, financial leverage is significantly and symmetrically …

risk (beta). Financial leverage and beta are usually considered as two proxies of risk derived from different domains: one … moderating-variable impact of size on the relation between financial leverage and systematic risk. On the other hand, however … leverage and systematic risk were well documented. Inter-temporally, financial leverage is significantly and symmetrically …

This paper examines how changes in firms’ risk disclosures affect a key market measure of risk. Our proxy for changes … in risk disclosures is the addition and removal of individual risk factors to firms’ 10-K annual filings, identified via … textual analysis of the risk factors section. Our market measure proxy for risk is the variance risk premium (VRP), which …

This study examines the impact of geographically nearby major customers on suppliers’ stock price crash risk. Using a … of supplier−customer proximity on crash risk is more pronounced for suppliers with lower corporate transparency and … customers reduce suppliers’ crash risk: fewer financial restatements and higher accounting conservatism of suppliers. The …

IFRS adoption in Brazil. The event study methodology was applied for the analysis of three public non-financial companies …