extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index … complete order for all risk avers investors. We present a closed-form solution to the PROFIT Index, as a function of the return … stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were …

Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk-based explanation for … announcement risk is priced …

’s investments. As a result, aggregated risk statements provide market information about new and evolving risks over and above the … insights to be gleaned from any single risk disclosure. But disclosures’ utility comes not from their superior ability to …’ perception of market risks in the aggregate. We evaluate our thesis through an analysis of all U.S. mutual funds’ narrative risk …

concluded that climate risk was investment risk. It warned of a very rapid movement of capital toward “sustainable” businesses … investors’ ability to manage risk, and can inform broader public policy. Sustainability reporting also serves an internal …

This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new … future returns the “Vo/P anomaly.” We find that this Vo/P anomaly is exacerbated by idiosyncratic risk to a greater extent … than by any other arbitrage risk factor, including institutional ownership, analyst coverage, bid-ask spread, and trading …