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 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 …

price both systematic (beta and co-skewness) and non-systematic (idiosyncratic volatility) risk when determining the … appropriate rate of return on a security. We demonstrate that price targets contain risk-related information not incorporated into … other ex-ante measures of expected returns, as the risk/reward relations are not present using the other measures. Use of …

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 … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent 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 … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent 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 … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …

changes by increasing (decreasing) their portfolios' exposure to macroeconomic risk factors when economic uncertainty is high …This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of …

changes by increasing (decreasing) their portfolios' exposure to macroeconomic risk factors when economic uncertainty is high …This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of …