, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … reputation on return and risk, being the impact on the risk an area still little explored and with controversial results; thirdly … competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …

financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic … climate risk and the climate policy risk, which all of them may affect the markets directly or indirectly. The perspective is … affected by beliefs about future path of expected return. Climate change signifies possible disruptions in production and …

We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov … expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a … index's total variance risk premium. We illustrate that an index's total variance risk premium is due not only to changes in …

investing in stocks. This reduction is so generous that the risk-adjusted return obtained following these fundamental variables … the technical indicators we analyze do not show any predicting value neither in terms of return or risk. We observe the … dynamics of individual stock prices' return and risk in a new framework, the Adaptive Market Hypothesis (AMH) proposed recently …

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and … association between information quality and liquidity risk is stronger in times of large shocks to market liquidity …

Risk parity is an asset allocation strategy designed so each asset class contributes equally to overall portfolio risk … (as measured by volatility). While risk parity offers potential advantages, its success hinges on key assumptions and a … favorable environment for bonds. Like the traditional asset allocation approach it seeks to supplant, risk parity demands a long …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

assets' future Sharpe ratios is greater than some constant. If portfolio performance is measured by expected return, risk …We show that the probability of risk parity beating any other portfolio is more than 50 percent. We also prove that if … portfolio performance is measured by Sharpe ratio, risk parity is the only maximin portfolio when (1) all assets' future Sharpe …

In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using … a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …

destruction affects risk, wealth, and prices. Overinvestment not only imposes excessive disruption risk on existing assets and … wealth). Because of hedging motives, wealth duration and uncertainty decrease systematic risk. If rent seeking and … competition are sufficiently high, a negative risk premium arises that resolves over time with learning. The model generates price …