dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk … Emerging markets’ investors should give preference to total risk measures over systematic risk measures. Within the category of … systematic risk measures, downside beta proved its superiority to traditional CAPM beta. The results can be attributed to delayed …

A restricted-perceptions equilibrium exists in which risk-averse agents believe stock prices follow a random walk with … a conditional variance that is self-fulfilling. When agents estimate risk, bubbles and crashes arise. These effects are …

portfolio returns by using market risk factor, size risk factor and book-to-market ratio risk factors. Size factor has no effect …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk factors …

and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and … is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock … exchange. Hence, investor should compensate for holding such risk factors in the portfolio. …