Conventional finance suggests that the higher the risk of an investment, the higher the return it should give …. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk …-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks …

their risk premia---a first-order prediction of canonical equilibrium models. We then analyze the roles mean-variance and …

This study fi nds that a novel transformation of the idiosyncratic volatility (IVOL), the unit shocks of IVOL (US … arbitrage risk for short sellers …

selling of VIX instruments could have substantial volatility jump risk exposure which can result in economically meaningful … strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … significant jump risk may expose short uncovered VIX positions to extreme tail risk.In this paper we consider the performance of …

This paper investigates how the two technical drivers, volatility and correlation, influence the algorithm of the … traditionally applied pair selection procedure. In the US market, we find risk-adjusted monthly returns of up to 76bp for portfolios …, which are double sorted on volatility and correlation between 1990 and 2014. Our findings are robust to liquidity issues …

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

momentum prediction has been proved, the predictors can be applied to momentum risk management. I introduce two new momentum … been used before. I then introduce a new method of momentum risk management that has a lower transaction cost than existing …

important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both …. Furthermore, the model allows us to describe how low volatility uses implicitly asymmetric trend characteristics while momentum … exponent in itself allows for a momentum strategy, and it can also be utilized to significantly improve low volatility …