We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience … cannot be explained by several known determinants of average returns and are consistent with the ex-ante pricing of the risk …

make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely … the risk of funding shortfall. We seek to explore the optimal asset allocation strategies for such institutions, the … effects of funding shortfall risk on asset prices, and its ability to explain any empirical asset pricing regularities that …

The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …

We examine risk-return trade-offs associated with “covlite” deals which lack systematic covenant compliance … requirements of traditional “covheavy” deals. We document demand-driven risk taking incentives in the primary markets where covlite … deal pricing has become increasingly borrower-friendly over time, particularly for high-leveraged low-credit-quality “high-risk …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … a core of commodities and TIPS, funded proportionally from return-seeking and risk-reducing assets; Add inflation …

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the … fund returns, we extend previous studies to analyze the effect of reference-day risk on regression alphas, a metric that is …

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy … investments in leveraged portfolios also. The approach seems to modify the meaning of "nondiversifiable-risk" of the market risk …

managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through …