The relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the...

This article investigates the empirical distributions of log-returns of several financial assets at the daily, weekly, monthly, bimonthly, and quarterly frequencies. The results indicate that the distributions possess significant skewness and leptokurtosis. These findings are attributed to...

This paper investigates the impact and implications of outlier returns for event studies and the pricing of risk. A mixed regression process consisting of a regular and an outlier component is used to model returns for individual stocks. The regular component of stock returns is estimated using...

The impact of the cognitive biases of overconfidence, underconfidence and anchoring on the distribution of errors of forecasting models is analyzed using an analytical framework based on a flexible two-piece generalized distribution. The total forecasting bias, measured by the expected value of...

This paper introduces a two-piece generalized distributional framework based on some minimum requirements for the probability density function used as the basis for the two-way split. These requirements are symmetricity, unimodality and continuity. The basic characteristics of the two-piece...

This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and...

This study re-examines the risk-return relation using a contemporaneous asset pricing model under various probability distribution functions that account for skewness and kurtosis effects in the data. Once these effects are taken into account a positive risk premium is established, suggesting...

We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness. We derive the moment and equilibrium equations, specifying skewness price of risk as an additive component of the effect of variance on mean expected return. We estimate our...