We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience … cannot be explained by several known determinants of average returns and are consistent with the ex-ante pricing of the risk …

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 …

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 …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We … performance. We find that idiosyncratic risk cannot be eliminated in UK mutual funds. We show that idiosyncratic risk is … risk significantly increases the number of funds showing statistically significant and positive selectivity skills (alpha …

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …