We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

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 …

risk is a nonlinear function of market volatility …

A fundamental insight in finance is that there is a strong risk-return tradeoff. Moreira and Muir (2017) challenge this … by showing that investors can increase Sharpe ratios by reducing exposure to risk factors when their volatility is high … both low- and high-sentiment periods. Our results demonstrate that the breakdown of the risk-return tradeoff is even more …

components, namely continuous volatility and jump, and future market excess return. Building on quadratic variation theory, we … find that continuous volatility is a key driver of medium/long-run risk-return trade-offs while jumps lack predictive power … risk-return linkage when jumps are extracted from the quadratic variation activity …

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional … relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under …

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …