Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate … well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive … emotions lead to a prediction of high return and low risk, while negative emotions lead to a prediction of low return and high …

-and-hedge strategy involving taking a long position in convertible bonds ("CBs") while hedging the equity risk alone explains a … substantial amount of these funds' return dynamics. In addition, we highlight the importance of non-price variables such as … active in shorting stocks to hedge their exposure than smaller funds. They are also more vulnerable to supply shocks in the …

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross … generate superior returns when uncertainty in the market is less. Finally, we demonstrate that VOV exposure-return relationship … of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book …-to-market, and industry portfolios as well as individual stocks indicate that the conditional covariances of equity portfolios …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

robust and significant negative risk premium for VOV exposure in the crosssection of hedge fund returns. We further show that … uncertainty in the market is less. Furthermore, the variation in the VOV betas is consistent with the risk-taking incentives of …

growth and return series. Whichever specification is used, the estimated preference parameters are of an economically …