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 …

risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

as depicted by finance theory. However, negative skewness results in lowering the total price of risk and in some cases …The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across …

) recessions, international political crises, country risk, and uncertainty related to government policies. While we find that …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

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 …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

uncertainty and risk, as they indicate that uncertainty-averse investors demand a premium for owning stocks with negative βEPU … EPU being an economically priced and distinct risk factor for equities on an international scale …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm’s systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative … data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional …