In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory … improvements. The present paper seeks to contribute to this evolution, focusing on the Global Risk Appetite Index (GRAI) class of …

and prudential bank regulation, tended to mitigate withdrawals. …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a … approach to risk modelling is the exibility in the choice of distributions used to model co-dependencies. The practical …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …