systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …In financial economics, numerous theoretical models explain the relationship between investment risk and return in the … capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

climate policy regime. Methodologically, we compare risk-adjusted returns of stock portfolios comprising corporations that … restricted one-factor model based on the Capital Asset Pricing Model (CAPM). While our portfolio analysis shows negative …