institutions’ systematic risk. We then develop an index of the estimated equity value loss as the long-rum marginal expected … shortfall (LRMES). LRMES contributes to compute systemic risk (SRISK) contribution of these firms, which is the capital that a … firm is expected to need if we have another financial crisis.FindingsLarge acquiring banks decrease systemic risk …

significantly positively associated with future realized stock returns and also significantly correlates with commonly used risk …

It is a universally accepted principle that risk and return of investing are commensurate. However, people give more … importance to return and risk takes a back seat. This study is an attempt to understand the perceptions of 120 investors in … Gandhinagar region towards risk and return of investing in stock market. The study analyses the investment preferences of these …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

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 …

Post-issue stock underperformance is driven, at least in part, by the contemporary decline in idiosyncratic risk … they experience a larger reduction in idiosyncratic risk than their size, book-to-market, and exchange matching firms … suggests. Furthermore, post-issue abnormal change in idiosyncratic risk is positively associated with long-run stock abnormal …

and currency risks. We develop a structural credit risk model to evaluate CTRS premia. Empirical test on a sample of 23 … interest rate risk, firm-specific factors are major drivers of the variations in the valuation of these instruments. Regression … currency risk premium affects the CTRS price significantly but only marginally, which confirms the prevalence of credit risk in …

financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …