To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is … risk factor retains its incremental explanatory power when compared to other conditional models such as the conditional …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

during the volatile period, this risk, has a substantial impact on currency returns. The empirical results show that the two …

approach to measuring activeness for hedge funds by estimating the dynamics of risk exposure of a large sample of live and dead … equity long-short funds. We find that higher activeness is positively correlated with raw excess returns, but not with risk …-adjusted returns. Furthermore, the relationship between risk-adjusted returns and activeness is likely non-linear and some …