We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index … return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four … definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions, which are free …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

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 …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

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 …

investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

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

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 …