volatility sorted portfolios. Our time-series analyses document significant portfolio return exposures to aggregate tail risk. In …We examine the impact of tail risk on the return dynamics of size, book-to-market ratio, momentum, and idiosyncratic … particular, portfolios that contain small, value, high idiosyncratic volatility, and low momentum stocks exhibit negative and …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in … explanatory power of long-run risk asset-pricing models …

systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If … idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently …

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 …

(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 …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …