for momentum returns that predicts tail risk when arbitrageurs ignore feedback effects. However, crowding does not … generate tail risk when arbitrageurs rationally condition on feedback. Consistent with rational demands, our empirical analysis … generally finds a negative relation between crowding proxies constructed from institutional holdings and expected crash risk …

, commodity sectors or seasonality effects. The sources of risk and return in this anomaly are sufficiently different to … persists after controlling for standard risk factors, commodity-specific risks, behavioral factors, transaction costs …

This paper empirically describes how the risk premiums of size portfolios vary with macro-economic fluctuations in the … price of risk at the portfolio formation dates, thereby explaining the lack of robustness involving the unconditional size … premium: Only portfolios formed in "bad" states - with price of risk among the largest 30% - earn significantly positive …

We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation … how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high …

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We … performance. We find that idiosyncratic risk cannot be eliminated in UK mutual funds. We show that idiosyncratic risk is … risk significantly increases the number of funds showing statistically significant and positive selectivity skills (alpha …

extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic … global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact …

characterization are bound to yield Bayesianly incorrect generalizations. In the Bayesian way of thinking, information risk impacts the … rates of return. Less obviously, formal Bayesian allowance for information uncertainty can lead to unexpected …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …