We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

The current study attempts to investigate that the depressed wealth effect of liquidity risk is priced in developed and … beta contributes to explaining the systematic risk on stock returns. Moreover the return sensitivity to the market … depresse wealth risk is sensitive to liquidity measures used in the study. So investors should give practical value to …

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …

the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic … analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the …