We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail … risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor … do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on …

There is little empirical evidence regarding downside risk in asset pricing, due in part to problems inherent in … estimating downside risk. We argue that Berk and van Binsbergen (2016)'s approach to testing asset pricing models using the … relation between investor flows and risk-adjusted fund returns is well suited for examining the merits of downside risk. We …

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 …

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …