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 …

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

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

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 …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

various frequencies, we define a \textit{quantile spectral} beta representation that characterizes asset's risk generally … market risk that captures dependence between extremely low market and asset returns. Second, extreme market volatility risk … as daily data. These results suggest that both frequency-specific tail market risk and extreme volatility risk are priced …