implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and … volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the …

stocks to these risk factors and their explained variation is time-varying. The four continuous factors carry an intraday … risk premium that reverses overnight …

-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …

risk and returns that characterize the domestic and the foreign investment opportunity sets. Optimal portfolios and hedging …