We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes …

-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking … sufficiently poor fund performances substantially curtail managerial risk-taking, provide strong incentives to de-leverage, and …

investigate risk/return characteristics of fundamentally-weighted and market-cap-weighted indexes and employ various risk …-adjustment approaches to ensure that return differences are not driven by risk. Based on stocks in the DJ Stoxx 600 index from July 1993 to … April 2007, we show that fundamentally-weighted indexes achieve higher risk-adjusted returns than market …

We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We …-sized EREITs are a good investment when default risk premium fluctuates dramatically …

priced risk factor and differentiation between specific and common uncertainty important. Our results are robust across …

In this paper, Value-at-Risk (VaR) models that account for intraday-jumps are developed. The VaR is modeled directly as …

Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the … for aggregate uncertainty and controlling for market risk, volatility risk, correlation risk, and the variance risk …

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … time varying risk factor loadings. Unconditional alpha subsequently becomes biased when asset ivol correlates with the …

peer-to-peer crowdlending to businesses provides investors with returns consistent with the level of risk borne. By … role of regulation in FinTech …

Finance Sector creating an 11th sector. We examine the return and risk effect of the creation of the new sector. We find a … divergence in the risk of firms in the new sector and the non-S&P eREITs relative to the market. The eREITs in the S&P 500 Index … maintained a lower risk, while the eREITs not in the Index increased in risk …