Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the … stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the …

Background: In making investment decisions, asset risk and return are two crucial criteria on which investors base … their decision. Objectives: This paper provides risk and return analysis and compares different traditional and alternative … estate, foreign exchange, cryptocurrencies, renewable energy sources, gold, and oil. Methods/Approach: The risk measures of …

This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate … well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive … emotions lead to a prediction of high return and low risk, while negative emotions lead to a prediction of low return and high …

Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with … average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an … highlighting the assumptions consistent with no risk premium. The key is that when agents are concerned about relative wealth, risk …

We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples … members only depend on the distribution of a return. In the second part of the paper we provide an overview of existing reward-risk …

priced risk factor and differentiation between specific and common uncertainty important. Our results are robust across …This paper investigates the relation between uncertainty and stock index returns for 15 countries. An innovation is to … use macro-uncertainty at both the country and global level. Our results suggest that country-specific GDP uncertainty, but …

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade …. The risk-return tradeoffs associated with equity exposure, particularly for workers approaching retirement, underscore the … importance of full disclosure, realistic assessment of risk tolerance and participant behavior, and due consideration of income …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …