A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both …

closed-form solution for the case where informed agents are risk neutral and the market maker is risk averse. Market …. Thus, liquidity risk is an endogenous parameter determined in equilibrium. Expected market liquidity, liquidity risk, and … the factor. We show that expected market liquidity is lower and liquidity risk is higher when the ex ante volatility of …

Digital Portfolio Theory (DPT) permits investors to control their risk exposure with respect to multiple time horizons … autocorrelation assumptions of Modern Portfolio Theory (MPT) and allows effects of unconditional mean reversion risks at multiple … horizons. The time horizon composition of single period risk creates hedging demands based on investor holding period and …

set of explanations, based on prospect theory, specifically the disposition effect. This paper develops a model of stock …

We argue that takeover protections decrease equity value and increase equity risk and stock returns by removing a … at the dynamics of equity prices, equity risk, and stock returns in distressed firms around the enactment of pro- and …

I show that increased turnover accompanies changes in stocks' risk exposures. A one standard deviation decrease in a …

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making … associated risk of shares, and of the portfolio of the shares. The illustrations of tables and figures can significantly … contribute to the understanding of a reader in relation to portfolio management of risk and returns. The illustrative table and …

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 …