for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of …

IVOL and returns) is a missing risk factor. We show analytically that if IVOL proxies for a missing risk factor, then the … risk factors. Overall, our results suggest that both diversifiable (i.e., true idiosyncratic risk) and non …-diversifiable risk play a role in explaining the IVOL puzzle …

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability … consistency with Merton's ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor … risk-return trade-off tends to be weaker among international equity markets. The out-of-sample forecasting power (of factor …

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability … consistency with Merton's ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor … risk-return trade-off tends to be weaker among international equity markets. The out-of-sample forecasting power (of factor …

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability … consistency with Merton's ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor … risk-return trade-off tends to be weaker among international equity markets. The out-of-sample forecasting power (of factor …

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability … consistency with Merton's ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor … risk-return trade-off tends to be weaker among international equity markets. The out-of-sample forecasting power (of factor …

We examine the risk-return trade-off among alternative equity factors. We obtain a positivein-sample trade-off for the … the market and momentumfactors there is a negative relationship. The risk-return trade-off estimated for RMW andCMA/IA is … risk-returntrade-off is weaker among international markets …

investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 … conditional volatility and return to determine the risk-return relationship. We find that the risk-return trade-off is generally … the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the …