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Financial markets with trade on risk and return

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Where is the efficient frontier

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Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

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Momentum profits and conditional time-varying systematic risk

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Financial markets with trade on risk and return

Smith, Kevin - 2019

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock …'s expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the …

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Are the profitability and investment factors valid ICAPM risk factors? : pre-1963 evidence

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