systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

obtained with other measures and provide new evidence on the time-series properties and predictive power of idiosyncratic risk … explanatory power of idiosyncratic risk on the average market portfolio return. Additionally, we provide some criteria for the …

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

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

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 …

after controlling for transaction costs, liquidity, and bond characteristics. We also propose new risk factors based on the …

assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …