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 …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

The link between measures of risk and return within the equity market has been very weak over the past 47 years: In the … United States, returns on high-risk stocks have cumulatively fallen short of the returns on low-risk stocks, during a period … a risk anomaly — a mispricing of risk for behavioral and institutional reasons — and revisits the associated …