This study tests if the financial markets price the investor's sentiment risk. We construct portfolios based upon the … that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the … addition of the sentiment risk premium contributes to explain the profit …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of … market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific … portfolio strategies. Drivers of information risk are detected applying an original model developed by the Author to the case of …

We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov … expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a … index's total variance risk premium. We illustrate that an index's total variance risk premium is due not only to changes in …

investing in stocks. This reduction is so generous that the risk-adjusted return obtained following these fundamental variables … the technical indicators we analyze do not show any predicting value neither in terms of return or risk. We observe the … dynamics of individual stock prices' return and risk in a new framework, the Adaptive Market Hypothesis (AMH) proposed recently …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk-return … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P500 index option … characterized by high aggregate risk aversion and high expected returns …

-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium … showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high …

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and … association between information quality and liquidity risk is stronger in times of large shocks to market liquidity …