empirically assess that both the value at risk and the average value at risk are model-dependent and we show that the difference … between models should be taken into consideration in the evaluation of risk measures …

universe indicates that volatility is not compensated with a “volatility” premium. We find evidence of a risk premium, but it … depends on the definition or measure of risk. “Tail risk” measures the probability of having significant losses and should be … what investors care about the most. We investigated several risk measures, including volatility and tail risk, and found …

methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a … weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk …

)] and multi-factor [Carhart (1997)] models to evaluate risk-adjusted returns using the General Index of Athens Stock …