variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently … expected stock returns, and new supporting evidence that idiosyncratic risk is priced …

hedge against uncertainty risk and earn lower risk premiums than value stocks. An investment-based asset pricing model …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

incorporate different assumptions about the persistence of productivity shocks, the degree of international risk sharing and …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross … of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk …