exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

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

country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

We study how background health risk affects financial risk-taking. We elicit financial risk-taking behavior of a … infections across time and space, we find that an increase in infections affecting background health risk translates into higher … financial risk-taking, and for the alleviating effect of self-insurance devices. …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

This experimental study investigates the impact of affective attitudes on risk and return estimates of stocks …. Participants rate well-known blue-chip firms on an affective scale and forecast risk and return of the firms' stock. We find that … positive affective attitudes lead to a prediction of high return and low risk, while negative attitudes lead to a prediction of …