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

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

-asset classes and factors and test the long-term performance of U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity … measured risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower … expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their …

exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in …We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …