–making that requires a trade-off between expected return and risk, as well as for applications in asset pricing and risk …–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten …-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk, Expected Shortfall, and left–tail distribution …

We estimate how an acquiring firm's risk changes depending on whether the market initially judges the acquisition to be …, acquisitions judged negatively by the market result in a 5% increase in total risk, while acquisitions judged positively by the … market feature a 30-basis-point increase in total risk. We found the median acquisition to be value creating, not value …

volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …-varying announcement volatility as announcement event risk varies by as much as an order of magnitude over time …