their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated … with the characteristic, but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance …

“Low-Minus-High (LMH) portfolio,” need not proxy for fundamental risk. We show theoretically how factors based on valuation …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated … with the characteristic, but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance …