their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

of the stock's systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a high …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often …-sectional average realized skewness) estimated from underlying stock returns and risk-neutral skewness evaluated from the options market …