Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

A productivity shock identified through a VAR is a priced risk factor for one-month industry momentum portfolios and … commands a positive risk premium. Stocks in winning industries have higher sensitivity to productivity news, thereby earning … pricing model with human wealth. In many specifications, the exposure to productivity risk captures more than half of the …

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 …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … concerning firms' abnormal returns and firms' systematic risk. This can be justified because stock prices adjusted instantly to …

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 …

Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only … is consistent with investors’ actual perception of risk. Our method is presenting investors return distributions with … different risk characteristics for which they have to state their perceived risk and make investment decisions. Our results hint …

Intuitively, option-like compensation contracts induce risk-shifting behavior, confirmed by numerous empirical studies …. However, theoretical work has shown that risk shifting should not happen without a definite expiration date of the option …. With a sample of Commodity Trading Advisors (CTAs), we show that increases in risk (interpreted as risk shifting …

predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. …