-investment-grade, these bonds are underpriced. Consistent with insurers' high (low) demand for IG bonds with high (low) systematic risk …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term …

volume and future stock price crash risk. This relation is evidently more pronounced among firms with higher information … firms with options trading have higher future crash risk than firms without options trading. We further show in a difference …-in-difference analysis that firms experience an increase in crash risk immediately after the listing of options. The results suggest that …

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data … the returns of property/liability insurance stocks in a satisfactory way. We adapt the model proposed by Adrian, Friedman …, and Muir (2015) for financial institutions and define an insurance-specific five-factor asset pricing model (INS5), which …

investigates the investment performance of common stocks in Nigeria. In particular, this study examines the empirical conformity of … some finance theories in Nigeria since most of such evidence are based on developed markets and evidence on emerging … markets like Nigeria remains scanty. Secondary data, obtained from official sources, were utilized. Employing correlation and …

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the … model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency …