underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by … findings, these constraints result in a nonlinear model implying a bounded and positive risk-return relationship. Our empirical … results show that the positive risk-return relation in the U.S. data is statistically significant over the mean return …

offers valuable insights for investors and policymakers in understanding risk patterns and designing appropriate strategies …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm’s systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

least squares (OLS) and generalized least squares (GLS) estimation techniques confirm that exchange rate risk in the …This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on … rate risk pricing, herding behavior, term structure and the interest rate. The estimated results based on both the ordinary …