We explore the effects of tax avoidance and tax risk on stock return volatilities of U.S. firms. We find that firms … with very low and very high levels of tax avoidance and firms with high levels of tax risk have more volatile stock returns … expectations; in contrast, tax risk seems to affect stock returns through cash flow and discount rate channels. Furthermore, we …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

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 …

single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the … fund returns, we extend previous studies to analyze the effect of reference-day risk on regression alphas, a metric that is …

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 …

financial returns and port-folio 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. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …