We provide evidence that CEO equity incentives, especially stock options, influence stock liquidity risk via … disclosure policy. Contributing to the literature on CEO risk-taking, we document a positive association between CEO options and … future systematic stock liquidity risk. Controlling for endogeneity, we show that information disclosure quality is an …

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts … holds a linear position in U. When the exposure to the non-tradable risk factor is non-linear, we provide an approximation … cross-impact and risk-aversion are small. We further prove that when exposure to U is non-linear, the approximate optimal …

mean to be negative. The more idiosyncratic is a fund's risk, the more difficult it is to make a copycat issue and the …

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

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 …-diversifiable risk play a role in explaining the IVOL puzzle …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

changes in the global risk landscape that followed. However, there is scarcity of rigorous studies using empirical data and … analyses of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after … over time, and also tests of the changes in the conditional Value-at-Risk or conditional expected losses. The Clayton …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …