mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are …

investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … risk aversion and cannot be reconciled by the exposure to standard equity risk factors …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

, Roll and Ross (1986) for the U.S. stock market, their model is not successful when describing a risk-return relation of …, two risk factors in that version of the model were statistically significant: default premium, measured as risk premium …

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We … performance. We find that idiosyncratic risk cannot be eliminated in UK mutual funds. We show that idiosyncratic risk is … risk significantly increases the number of funds showing statistically significant and positive selectivity skills (alpha …