This paper reexamines the relation between various downside risk measures and future equity returns in a global context … that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk … and the cross-section of equity returns, and in fact, this relation is mostly negative. Moreover, stock-specific risk …

investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … risk aversion and cannot be reconciled by the exposure to standard equity risk factors …

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

momentum prediction has been proved, the predictors can be applied to momentum risk management. I introduce two new momentum … been used before. I then introduce a new method of momentum risk management that has a lower transaction cost than existing …

foreign asset holdings in minimum risk portfolios, whereas idiosyncratic jumps increase the diversification benefits of …