Is it really possible to control for the downside risk when the market environment is in constant evolution? If so … variance and correlation terms are properly taken into account, downside risk can be mitigated without compromising long …

small value stocks in best times. Combined with the fact that growth stocks have lower market risk than value stocks in bad … aggressively than growth stocks. This increase in selling pressure could make value stocks more sensitive to liquidity risk than … risk, combined with the liquidity price of risk, is able to capture 35% of the small-stock value premium and 100% of the …

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …