A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the … performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market … set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross …

. -- risk; uncertainty ; expected returns ; ICAPM ; time-series and cross-sectional stock returns ; variance risk premium …A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

uncertainty in the market is less. Furthermore, the variation in the VOV betas is consistent with the risk-taking incentives of …This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain … the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative …

risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …