To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

Exchange Traded Funds (ETFs) – tradeable investments that provide a return linked to an underlying index or basket of assets – are likely the most successful financial product since the 2008 crisis. Over the last decade they've experienced remarkable growth. Yet these products may also be...

I provide a novel risk-based explanation for the profitability of momentum strategies. I show that past winners have higher extra downside risk and lower extra upside risk (on top of the market-beta risk) than past losers. As a result, the winner-minus-loser momentum portfolios are exposed to...

This paper focuses on determining the factors influencing investors' risk-taking through empirical evidence from Vietnam. This study investigates risk perception, expected return and herding behavior, and other determinants such as historical volatility and subjective financial risk attitude;...

Cryptocurrencies have emerged as an innovative alternative investment asset class, traded in data-rich markets by globally distributed investors. Although significant attention has been devoted to their pricing properties, to-date, academic literature on behavioral drivers remains less...

I use classification-based machine-learning methods to decompose 32 anomaly payoffsinto risk exposures and mispricing. The component driven by risk earns statistically insignificantreturns, despite its efficacy in explaining the time-series variation in anomaly payoffs.The mispricing component...