, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples …, periods, and return decomposition methods, and is the only component of β; that has significant out-of-sample predictive … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples …, periods, and return decomposition methods, and is the only component of beta that has significant out-of-sample predictive … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

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 …

volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …

We provide a new monthly cross-sectional measure of stock market tail risk, defined as the average of the daily cross …-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. The former better captures monthly tail … risk rather than merely the tail risk on specific days within a month. Using simulations, we attest that this is due to the …

-to-market spread is a price of risk proxy, while the investment and profitability spreads are factor risk proxies. The evidence …