risk-adjusted profits that are about twice as large as those associated with total return momentum. Moreover, we find that …

risk-adjusted profits that are about twice as large as those associated with total return momentum. Moreover, we find that …

irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

higher (risk adjusted) returns, but also mitigates the notoriously large drawdowns of the classical momentum and short …

sector seems to have the majority of the style-based risk factors as the SMB is positively significant at a 5% level, the HML … factors. These findings highlight the necessity for investors to determine which investment risk elements produce abnormal …

. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the … that equilibrium risk premiums for assets with large beta uncertainty (long-short portfolio of stocks) decline once … risk premium decreases significantly, in absolute terms, when TIPS are introduced …

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … additionally reported. It is observed that risk neutral dynamics by and large reflect the presence of momentum in numerous … probabilities. However, there is some reversion in the upper quantiles of risk neutral return distributions …

The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their … attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analyzing novel trading data … attention to climate risk is heterogeneous …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …