We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

manifestation of the market's process of searching for equilibrium. Therefore, these anomalies should be fully explained by risk … pricing, if only we knew how to correctly measure risk in a out of equilibrium state. I focus on the Intangible Returns … anomaly, as defined by Daniel and Titman (2006) and show that it is a manifestation of the evolution of the HML risk factor …

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 …

critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that … better absolute and risk-adjusted returns than a comparable buy and hold unleveraged strategy as well as a constant leverage …

assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts' scenario … changes in firm fundamentals. We also show that analysts' assessment of fundamental risk and its predictive ability …' systematic risk exposures …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts … holds a linear position in U. When the exposure to the non-tradable risk factor is non-linear, we provide an approximation … cross-impact and risk-aversion are small. We further prove that when exposure to U is non-linear, the approximate optimal …