February 1998 to September 2014, we estimate an average total return spillover risk of 28.0%. In an extended Fama-French's five …, bond market, as a net "receiver" of market risks, increased its risk premiums in response to high spillover risks from …

This study extends the early empirical evidence of sentiment risk spillovers on firms within the same category … risk spillovers are weaker than those experienced in non-index REITs. For non-index REITs, we find significant …

-French risk premiums. Investors should thus not neglect spillover risks when constructing their asset allocation strategies …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …