risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

level of risk. The performance of pension funds is often measured by their global asset returns because of the latter … risk level given their social security (and not speculative) function. We describe the process of the global asset return … carried out to balance the asset composition when the established local degree of risk is exceeded. The application is carried …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

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

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

This book undertakes industry analysis of the risk-return behaviour of stock returns in the US. It focuses on … transportation and a number of non-transportation companies, with particular attention paid to water transportation. The market risk … identify exposures (betas) to market, microeconomic and macroeconomic types of risk in each industry. These industries include …

This book undertakes industry analysis of the risk-return behaviour of stock returns in the US. It focuses on … transportation and a number of non-transportation companies, with particular attention paid to water transportation. The market risk … identify exposures (betas) to market, microeconomic and macroeconomic types of risk in each industry. These industries include …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …