describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing … comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average … missed by the market factor. Moreover, B/M factor has shown as a stronger common risk proxy in relation to size factor …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

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 …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We … performance. We find that idiosyncratic risk cannot be eliminated in UK mutual funds. We show that idiosyncratic risk is … risk significantly increases the number of funds showing statistically significant and positive selectivity skills (alpha …

and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and … is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock … exchange. Hence, investor should compensate for holding such risk factors in the portfolio. …

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …-return, for a given class of quantifiable-risk. …

strategy generates around 11% annualized value-weighted risk-adjusted return. Investor inattention, illiquidity, and sentiment …

-run decline since the 1870s, and that its trend is markedly different to that in the safe rate. As a consequence, the ex ante risk … premium exhibits large secular movements, and risk premia and safe rates are strongly negatively correlated. Our findings … suggest that time varying risk appetite is a key driver of expected risky and safe returns – not only in the short, but also …