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 …

alpha, in line with our theoretical predictions. Finally, we estimate a significant negative illiquidity risk premium that …

In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample … period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk … premia by Giglio and Xiu (2021), we find that several factors, including default risk, are also priced in country equity …

world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … significantly correlated. This lends support to a liquidity-based explanation of the carry trade risk premium. To illustrate this …

role of this sentiment-driven risk factors. We find that news andsocial media search-based indicators are significantly … pricing model implies positive estimates of the risk premium for pos-itive sentiment and negative premia estimates for the … literature, our new sentiment risk indicator turnsout to be superior in terms of out-of-sample predictive power …

fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure …

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 …

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate … cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta … outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as …

of such from noise/shock trading and the risk & return characteristics of a merger arbitrage trading strategy …' risk and returns series against a non-U.S. benchmark. This study demonstrates that alpha can be added by purchasing target …

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 …