extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …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 …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of …

In this article we examine the risk factors that help explain long/short equity (LSE) mutual fund performance. We show …

that previously proposed bond risk factors, with traded liquidity as the only marginal exception, do not have any …

We examine hurricane exposure as a systematic risk factor in the US stock market. Motivated by a consumption …-based asset pricing model with heterogeneous agents, we derive a necessary and sufficient condition for a hurricane risk premium … in the cross-section of stock returns. Empirically, we find that -- in the period from 1995 to 2020 -- stocks with a low …

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying … Single Index Model, the study reports statistically significant positive relationship between risk and return both at the … individual security level and at the portfolio level. While portfolio risk and returns are found to be significantly positively …