We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array … to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

Market. The contribution of size and systematic risk towards the behaviour of the Value Anomaly is studied. We observe that …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by … ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real … in the local beta will lead to a 4.5% increase in the annual return. Investors can use REITs’ location risk as an …

returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the …

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …

many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …