Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

Previous research indicates that long-term investors are not compensated for beta or volatility risk. This study shows …. Theoretical beta portfolios defined to perform exactly as the Capital Asset Pricing Model (CAPM) would predict on a monthly basis …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

construct managed portfolios of a risk-free asset and market index. …

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …. Finally, we simulate 10,000 portfolios and estimate value at risk (VaR) and Expected shortfall (ES). The empirical results …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be …