We conduct an international analysis of the cross-sectional risk premiums of uncertainty risk factors in addition to … traditional risk factors. We consider the stock markets in five regions separately. Internationally, uncertainty has negative risk … uncertainty betas. We further contribute with an analysis of downside uncertainty risk. Here, the downside uncertainty risk factor …

of such from noise/shock trading and the risk & return characteristics of a merger arbitrage trading strategy …' risk and returns series against a non-U.S. benchmark. This study demonstrates that alpha can be added by purchasing target …

alpha, in line with our theoretical predictions. Finally, we estimate a significant negative illiquidity risk premium that …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative … data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional …

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not … its level of net public wealth as proposed within the most recent World Inequality Report by Alvaredo et al. (2018) …

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 …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …