From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

This paper evaluates the impact of external financing on market risk for the listed firms in Vietnam's banking industry … changing leverage (in 2011 financial reports, 30% up and 20% down), we recognized that the risk level, measured by equity and … changing leverage in 3 scenarios, we recognized the dispersion of risk level, measured by equity beta var, increases from 0 …

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving … on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns because …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in … idiosyncratic risk. Models that use firm characteristics to predict firm-level idiosyncratic risk estimated over 1963-2012 can …

-and-hedge strategy involving taking a long position in convertible bonds (“CBs”) while hedging the equity risk alone explains a … substantial amount of these funds’ return dynamics. In addition, we highlight the importance of non-price variables such as … active in shorting stocks to hedge their exposure than smaller funds. They are also more vulnerable to supply shocks in the …

-and-hedge strategy involving taking a long position in convertible bonds ("CBs") while hedging the equity risk alone explains a … substantial amount of these funds' return dynamics. In addition, we highlight the importance of non-price variables such as … active in shorting stocks to hedge their exposure than smaller funds. They are also more vulnerable to supply shocks in the …

; Spread Decomposition Models ; Adverse Selection Risk …