finance models will lead to over-estimation of the risk of simultaneous extreme events. We provide simple techniques for …

and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of …

-step estimators such as continuously updated GMM yield numerically identical values for prices of risk, pricing errors, Jensen …

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily … constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

which the objectives of managers and entrepreneurs in choosing the risk composition of their firms' returns are not aligned … managers and entrepreneurs to unhedgeable firm-specific risk, induces them to change the stochastic properties of firm cash … flows. Since they can trade in markets for aggregate risk but not for firm-specific risk, managers and entrepreneurs produce …

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less …