fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a …

After analyzing the relationship and risk type of factors, this paper proposes a new factor pricing model consisting of … factor portfolios derived from the optimal distribution of risk and return. The new factor model outperforms the Sharp …

Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to … Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the …

role played by sovereign credit risk. Changes in sovereign credit ratings (upgrades/downgrades) influence excess (over risk … free rate) returns earned by foreign investors: lower excess returns are associated with lower risk. The effect of credit … influence foreign investors' excess returns. When it comes to abnormal (risk-adjusted) returns, foreign investors treat the …

be riskier than previously thought. Overall, our findings suggest commodity momentum is more consistent with a risk …-based explanation in U.S. markets whereas risk alone is difficult to capture the premia in China …

Using a measure of global political risk, relative to the U.S., that captures unexpected political conditions, we show … that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors … such strategies are compensated for the exposure to the global political risk of those currencies they hold, i.e., the past …