Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

In this paper, we revisit the question whether the Fama-French factors are manifestations of distress risk premiums. To this end, we develop new tests specifically aimed at dissecting the Fama-French factor returns from a distress risk premium. While we find that small-cap and value exposures...

Previous published studies document price differences between principal and coupon strips although both securities promise identical cash flows at maturity. This paper gauges the economic significance of this apparent anomaly and investigates if holders of the higher-priced strips can exploit...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in returns to firms that have high versus low corporate emissions. By regressing individual stock returns on the PMC factor, we obtain estimates of asset-level climate risk...

This study sets out to discuss and test the potential risk factors of energy efficiency retrofits. It reviews both the short- and long-term assumptions regarding the various uncertainties associated with input parameters to assess their potential effect on outcomes predicted by conventional...