, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return …

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 …

Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of … market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific … portfolio strategies. Drivers of information risk are detected applying an original model developed by the Author to the case of …

volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …

expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest …-illiquidity, and high-skewness portfolios. Our results suggest risk-seeking behavior among African investors similar to that in other …

Using daily stock return data of all listed firms in Chinese stock market from 1998 to 2018, we disaggregate the …

for momentum returns that predicts tail risk when arbitrageurs ignore feedback effects. However, crowding does not … generate tail risk when arbitrageurs rationally condition on feedback. Consistent with rational demands, our empirical analysis … generally finds a negative relation between crowding proxies constructed from institutional holdings and expected crash risk …

(Campbell et. al. (2008)). We show that in a model where investors have heterogeneous preferences, the expected return of risky … market return. We find that there is a negative (positive) relation between idiosyncratic coskewness and equity returns when …-wide effect of idiosyncratic coskewness betas. When we control for these two idiosyncratic coskewness factors, the return …