financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic … climate risk and the climate policy risk, which all of them may affect the markets directly or indirectly. The perspective is … affected by beliefs about future path of expected return. Climate change signifies possible disruptions in production and …

Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of … market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific … portfolio strategies. Drivers of information risk are detected applying an original model developed by the Author to the case of …

-monotonic relations that obtain between search costs for projects with the best risk-return profiles, and the opportunity (return) benefit …This study develops a theoretical model that parameterizes cross-sectional differences in opportunity set risk within … for cross-sectional variations in opportunity set risk …

market risk, and two typical event study approaches (the mean-adjusted-return approach and the market model approach). For … structural breaks in the data. Our results indicate that the event day return effect is partly justified by the risk and/or the … risk premium on that day …

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock …'s expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the …

Utility and risk are two often competing measurements on the investment success. We show that efficient trade … of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky … market return. We find that there is a negative (positive) relation between idiosyncratic coskewness and equity returns when … idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky … market return. We find that there is a negative (positive) relation between idiosyncratic coskewness and equity returns when … idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …

, straddles in the market portfolio is shown to increase the expected utility of any risk averse investor and also increase the …