This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return … default risk. With increasing downside risk, the standard capital as- set pricing model increasingly overestimates required … equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

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 …