"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

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 …

Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

with a rational time-varying market risk premium, as well as variables more likely to reflect market inefficiencies …

models, which shed light on whether the predictability is due to mispricing or risk exposure …

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 …

-averse), benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and … prices of out-of-the-money put as the risk-neutral expected value of a loss beyond a given relative threshold …