This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric … issues for deal-level, fund-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially … the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the …

different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …

VIX and the equity premium. We reexamine this risk-return issue in a multi-risk framework with VIX and T-bond risk (MOVE …

's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

A number of studies have found that the cross-section of stock returns reflects a risk premium for bearing downside … risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a … novel measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

A productivity shock identified through a VAR is a priced risk factor for one-month industry momentum portfolios and … commands a positive risk premium. Stocks in winning industries have higher sensitivity to productivity news, thereby earning … pricing model with human wealth. In many specifications, the exposure to productivity risk captures more than half of the …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

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 …

conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these … conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-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 …