We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those …

effect may be a result of both rational risk pricing and market inefficiency while remain silent on the cause of trading …

empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there … asset demands and prices. International asset-pricing models with mean-variance investors predict that an asset's risk … premium depends on its covariance with the world market portfolio and, possibly, with exchange rate changes. The existing …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the … accurate asset evaluations; (iv) funding liquidity risk is a partial explanation of these findings. …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …