Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative …

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other …

idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently … expected stock returns, and new supporting evidence that idiosyncratic risk is priced …

Previous research indicates that long-term investors are not compensated for beta or volatility risk. This study shows …. Theoretical beta portfolios defined to perform exactly as the Capital Asset Pricing Model (CAPM) would predict on a monthly basis …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …