about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental …

financial variables changes the model dynamics and delivers price responses which are more in line with economic theory. A …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

future risk based on extremes. This tail behaviour is very often driven by ex- ogenous components and may be modelled …

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …

-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock …-varying covariance matrices forsake directional information embedded in market-wide risk factors. We introduce a new covariance matrix …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to … measure income risk as the observed variation of household income over a five year period. We find that indeed higher income … risk reduces the propensity to invest in stocks. However, when controlling for household heterogeneity as well as …