Prior research shows that momentum returns are unlikely to be explained by risk-based theories. Daniel, Hirshleifer …

income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data … risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

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 …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several … questions: Is there enough diversification of risk in a global credit portfolio to allow for a good hedge? Is basis risk higher …

increases in investors' risk aversion which in turn increases investors' proneness to familiarity bias. I hypothesize that …

-established determinants of returns from the real world also affect asset prices in this market, despite the absence of systematic risk. The …