We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and … diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks …. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …