We propose a conditional model of asset returns in the presence of common factors and downside risk. Specifically, we … states; we show how to recover the observable factors' risk premia from the estimated latent ones in different states. The …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of …

This paper a develops novel statistical test of whether individual factor risk premia are identified from return data … in multi-factor models. We give a necessary and sufficient condition for population identification of individual risk … assumed for linear factor models. Under misspecification, our condition ensures point identification of the risk premium with …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by … findings, these constraints result in a nonlinear model implying a bounded and positive risk-return relationship. Our empirical … results show that the positive risk-return relation in the U.S. data is statistically significant over the mean return …