A productivity shock identified through a VAR is a priced risk factor for one-month industry momentum portfolios and … commands a positive risk premium. Stocks in winning industries have higher sensitivity to productivity news, thereby earning … pricing model with human wealth. In many specifications, the exposure to productivity risk captures more than half of the …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and … risk, especially in the early years, offering meaningful diverisification benefits to traditional stock/bond portfolios …

alpha, in line with our theoretical predictions. Finally, we estimate a significant negative illiquidity risk premium that …

This paper aims to analyze so-called anomalies or additional risk factors (other than market risk) on the Hong Kong … statistically significant value, momentum and other risk effects, with positive returns associated with these strategies, which … could either be classified as pure alpha (anomalies) or simply remuneration for additionally born risks (additional risk …

addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider … time-varying relations because investors' risk-aversion may change over time, based upon changing economic states. Moreover … identify that the relations between risk and return vary over time, and the risk-aversion parameters on momentum and value …

We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between … climate risk and firm value. …