"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

We provide a new monthly cross-sectional measure of stock market tail risk, defined as the average of the daily cross …-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. The former better captures monthly tail … risk rather than merely the tail risk on specific days within a month. Using simulations, we attest that this is due to the …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

-of-sample study. -- analysts' earnings forecasts ; discount rate effect ; equity premium puzzle ; implied rate of return …

when it is introduced in conjunction with the current market return …