We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

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 …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive … of idiosyncratic risk from the alternative models and throughout different periods …

(CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can … hedge against uncertainty risk and earn lower risk premiums than value stocks. An investment-based asset pricing model … augmented with time-varying uncertainty accounts for both the value premium and the empirical failure of the CAPM. This study …

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

study consistently generates positive intertemporal risk-return relations within venture capital markets. During the first … five years of business, venture capitalists (VCs) are shown to be risk averse, and are characterized by a Coefficient of … Relative Risk Aversion (CRRA) estimated at about 2.75. From the sixth year of business onwards, VCs are characterized by CRRAs …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

This study investigates the impact of return extrapolation on risk-return trade-offs in both the aggregate time series … is negative during high-DOX periods. In the cross section, we find that low-risk anomalies are significantly more … in response to a positive expected risk shock. The increase in stock prices is meant to sustain high perceived future …