We develop a measure of how information events impact investors' expectations of risk. The measure is broadly applicable and simple to implement. We derive it from an option-pricing model, where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky et al. (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, adjusted downside and global...

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...

This Web Appendix contains several technical details, figures and tables that were not reported in Di Cesare, Stork and de Vries (2014) for the sake of brevity.The paper "Risk Measures for Autocorrelated Hedge Fund Returns" to which these Appendices apply is available at the following URL:...

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...

Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis. Lou and Sadka (2011) measure liquidity via Amihud’s...