risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis …-based downside risk factor. We use three alternative models to extract ex-ante risk premia implied in the prices of dividend …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … concerning firms' abnormal returns and firms' systematic risk. This can be justified because stock prices adjusted instantly to …

Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only … is consistent with investors’ actual perception of risk. Our method is presenting investors return distributions with … different risk characteristics for which they have to state their perceived risk and make investment decisions. Our results hint …

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of … expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular … investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on …

Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed …, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio … or the tangency portfolio. The authors also introduce a new risk parity measure called ‘outcome risk parity’ which allows …