the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. The weighting … of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can even become …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

In this paper, we tackle the Beta anomaly, namely the fact that high-Beta assets tend to be associated with lower risk …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and … confers them more robustness. In light of the persistently substantial volatility in cryptocurrency markets, the empirical …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …