To determine the appropriate level of risk capital financial institutions are required to empirically estimate and predict specific risk measures. Although regulation commonly prescribes the forecasting horizon and the frequency with which risk assessments have to be reported, the scheme with...

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings during January, the one month when losers...