Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the … Support Vector Regression (SVR) algorithm with the risk premium theoretical framework for the forecasting model; consequently …

risk premium. We show that the dynamics of external additive habits with wealth inequality are complex when a background … risk is present. It is ambiguous whether wealth inequality will increase or decrease the equity premium even when the …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other …

Several 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 …

Examining China's stock market, mean variance is used to measure returns and risk and build an irrational risk …-asset pricing model. The power of heterogeneous beliefs and risk-valuation deviation are found to affect capital asset pricing …, presenting excessive fluctuations that neoclassical finance theory cannot easily explain. A diversified portfolio can disperse or …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …

significant losses across several asset classes. The objective of this paper is to investigate risk premia factors such as size …, value, momentum, carry, quality, and low volatility and their time-variant behavior. The time-variant behavior of these risk … momentum, and different risk conditions. Factor calculations are based on the MSCI World universe. The monthly data set ranges …

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such … as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on … mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a …

The paper focuses on the impact of time horizon on risk and return, which usually is the object of discussions about … “stock versus bond”. The aim of this paper is to investigate the transformation of risk and return when increasing the … investment term, and to determine the impact of the investment horizon on investment results when investing in shares and bonds …

in terms of average return per unit of risk, highlighting their potential as a dependable investment option for stability … monthly returns and volatility when compared to benchmark indexes. This positive risk profile implies that it will appeal to … seekers. Furthermore, Indian mutual funds routinely beat benchmark indexes in risk-adjusted terms. Despite having a positive …