, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … reputation on return and risk, being the impact on the risk an area still little explored and with controversial results; thirdly … competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

cash and investing in a diversified bond portfolio helps to enhance the global portfolio return …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov … expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a … index's total variance risk premium. We illustrate that an index's total variance risk premium is due not only to changes in …

positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P500 index option … characterized by high aggregate risk aversion and high expected returns …

-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium … showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high …

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and … association between information quality and liquidity risk is stronger in times of large shocks to market liquidity …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

assets' future Sharpe ratios is greater than some constant. If portfolio performance is measured by expected return, risk …We show that the probability of risk parity beating any other portfolio is more than 50 percent. We also prove that if … portfolio performance is measured by Sharpe ratio, risk parity is the only maximin portfolio when (1) all assets' future Sharpe …