make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely … the risk of funding shortfall. We seek to explore the optimal asset allocation strategies for such institutions, the … effects of funding shortfall risk on asset prices, and its ability to explain any empirical asset pricing regularities that …

The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

We lay out a model of risk capacity for global portfolio investors in which swings in exchange rates can affect their … risk-taking capacity in a Value-at-Risk framework. Exchange rate fluctuations induce shifts in portfolio holdings of global …

bankruptcy costs increase. Surprisingly, the higher the project risk, the more the entrepreneur will borrow, with a much higher …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

There is little empirical evidence regarding downside risk in asset pricing, due in part to problems inherent in … estimating downside risk. We argue that Berk and van Binsbergen (2016)'s approach to testing asset pricing models using the … relation between investor flows and risk-adjusted fund returns is well suited for examining the merits of downside risk. We …

This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric … issues for deal-level, fund-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially … the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the …

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative … data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional …