obtained with other measures and provide new evidence on the time-series properties and predictive power of idiosyncratic risk … explanatory power of idiosyncratic risk on the average market portfolio return. Additionally, we provide some criteria for the …

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 paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional … relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under …

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 …

Lundblad (2007, JFE) shows that the risk-return tradeoff is unequivocally positive with a two-century history of equity … risk-return relation. I show that the risk-return relation is mostly positive but varies considerably over time based on a … new nonlinear ICAPM with multivariate GARCH-M terms with the time-varying risk-return tradeoffs and hedging coefficients …

return because under Islamic financial system risk free return does not exist. Traditional CAPM is convertible into SCAPM by … the technical asset pricing models (CAPM, APT and multifactor models) based on behavior of stock market and macroeconomic … existing technical asset pricing models are very much applicable under Sharia frame work with a minor modification of risk free …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

This article develops an empirical methodology to determine which economic shocks span risk in asset returns and … identifies economic shocks. The choice of identifying restrictions is based on the properties of the term structure of risk in … multiple sources of risk in the variance of consumption growth. Both types of news are almost equally important for the …