administrators and portfolio managers can defend themselves against exchange risk by using forward contracts, particularly in world …The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional …

Motivated by Huang et al.'s (2013) recent arguments, we empirically examine the risk-return tradeoff in a liberalized … for market volatility over the study time. Our results contribute that the idiosyncratic risk plays an unimportant role in …

evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative … idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the … market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the …

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed …

With the emergence and spreading of COVID-19 pandemic all over the world, the uncertainty has been increasing for …

6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, in an … activity, level of risk and level of corporate governance, foreign portfolio capitals caused increases in returns especially … for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the …