how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index … return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four … definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions, which are free …

One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged … IVOL and returns) is a missing risk factor. We show analytically that if IVOL proxies for a missing risk factor, then the … risk factors. Overall, our results suggest that both diversifiable (i.e., true idiosyncratic risk) and non …

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive …) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 … of idiosyncratic risk from the alternative models and throughout different periods …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

guarantee, these products are interesting for risk averse investors who, in general, benefit from diversification. However, to … utility effects caused by the additional rider in the presence of background risk and borrowing constraints. A simulation …

Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price … phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering … and the risk premium is 16 percent of lifetime consumption. These values are about a third of the previously implied …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …