We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four definitions of aggregate global idiosyncratic volatility...

In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross-section of realized returns is much better explained when using...

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive (negative) among overpriced (underpriced) stocks. We offer a new active anomaly-selection strategy that capitalizes on this effect. To this end, we consider eleven equity anomalies in...

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The...

Using weekly stock-bond correlations estimated with high-frequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1-year interest rates over the next year. The reverse is...

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...

We analyze short-duration equity investments using traded claims on index dividends. We show that investment strategies with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis and in absolute terms. Furthermore, we find higher...

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculations confirmed that VaR has not yet succeeded to prove patterns of relation between risk and liquidity,...

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. Our results are robust after controlling for...