and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

This paper examines the preferred-habitat theory under time-varying risk aversion. The predicted positive relation … between the term spread and relative supply of longer-term debt is stronger when risk aversion is high. To capture this effect … predictions and indicate substantial time variation: under high risk aversion, yield spreads react about three times more strongly …

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk …

Surveys of corporate risk management document that selective hedging, where managers incorporate their market views … strength to withstand the additional risk from market timing. We study the practice of selective hedging in a 10-year sample of … link between selective hedging and managerial compensation. -- Corporate risk management ; selective hedging ; speculation …

aggregate risk aversion - is not supported by the data. -- Inflation expectations ; money illusion ; proxy hypothesis ; stock …