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 …

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

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock … returns. In the period from 1995 to 2019, domestic U.S. stocks with the most negative sensitivity to thunderstorm losses … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …

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 …

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 …