In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making … associated risk of shares, and of the portfolio of the shares. The illustrations of tables and figures can significantly … contribute to the understanding of a reader in relation to portfolio management of risk and returns. The illustrative table and …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative …

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk … financing, drives the following five asset pricing anomalies: (1) the failure-risk anomaly; (2) earnings momentum; (3) the …

The cross-section of stock returns has substantial exposure to risk captured by higher moments in market returns. We … returns on average. The results on market skewness risk are extremely robust to various permutations of the empirical setup …. The estimated premium for bearing market skewness risk is between -6.00% and -8.40% annually. This market skewness risk …

For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity … (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return … this paper is to develop a methodology to correctly determine the risk and return profiles of Private Equity funds given …

We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent … the inclusion of downside beta in Fama-Macbeth regressions subsumes the reversal effect. We note that downside risk offers … a theoretical justification for the “distress risk” explanation for long-horizon return reversals of Fama and French …

relative Book-to-Market Equity, greater long-run risk exposure for Value firms, and failure of the CAPM. Hence, it replicates …Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to a “Value” premium … results of Fama and French (1996) and show that in the model their HmL factor is a proxy for human capital risk as measured by …