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Downside Risk

https://doi.org/10.1093/rfs/hhj035
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-3932(90)90004-nopenalex-snapshot
‘First-order’ risk aversion and the equity premium puzzle
inferredcites →https://doi.org/10.1016/0304-405x(77)90017-4openalex-snapshot
Capital market equilibrium in a mean-lower partial moment framework
inferredcites →https://doi.org/10.1016/0304-405x(77)90041-1openalex-snapshot
Estimating betas from nonsynchronous data
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-snapshot
The relationship between return and market value of common stocks
inferredcites →https://doi.org/10.1016/0304-405x(82)90028-9openalex-snapshot
Multivariate tests of financial models
inferredcites →https://doi.org/10.1016/0304-405x(83)90031-4openalex-snapshot
The relationship between earnings' yield, market value and return for NYSE common stocks
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2004.03.009openalex-snapshot
Why Stocks May Disappoint
inferredcites →https://doi.org/10.1016/s0304-3932(97)00037-8openalex-snapshot
The implications of first-order risk aversion for asset market risk premiums
inferredcites →https://doi.org/10.1016/s0304-405x(01)00066-6openalex-snapshot
Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
inferredcites →https://doi.org/10.1016/s0304-405x(02)00068-5openalex-snapshot
Asymmetric correlations of equity portfolios
inferredcites →https://doi.org/10.1016/s0304-405x(96)00896-3openalex-snapshot
Industry costs of equity
inferredcites →https://doi.org/10.1016/s0927-5398(01)00039-1openalex-snapshot
The independence axiom and asset returns
inferredcites →https://doi.org/10.1080/135184799337046openalex-snapshot
Is beta still alive? Conclusive evidence from the Swiss stock market
inferredcites →https://doi.org/10.1080/14697681003756877openalex-snapshot
Portfolio selection with higher moments
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/261755openalex-snapshot
The Variation of Economic Risk Premiums
inferredcites →https://doi.org/10.1086/323282openalex-snapshot
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/rfs/5.1.1openalex-snapshot
On the Estimation of Beta-Pricing Models
inferredcites →https://doi.org/10.1093/rfs/hhg006openalex-snapshot
Differences of Opinion, Short-Sales Constraints, and Market Crashes
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-snapshot
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/0022-1082.00367openalex-snapshot
Mental Accounting, Loss Aversion, and Individual Stock Returns
inferredcites →https://doi.org/10.1111/0022-1082.00373openalex-snapshot
Contagion as a Wealth Effect
inferredcites →https://doi.org/10.1111/0022-1082.95722openalex-snapshot
International Momentum Strategies
inferredcites →https://doi.org/10.1111/1540-6261.00425openalex-snapshot
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01961.xopenalex-snapshot
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03508.xopenalex-snapshot
Co-Skewness and Capital Asset Pricing
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03509.xopenalex-snapshot
On The Direction of Preference for Moments of Higher Order Than The Variance
inferredcites →https://doi.org/10.1111/j.1540-6261.1982.tb02227.xopenalex-snapshot
Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results
inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb03830.xopenalex-snapshot
On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05126.xopenalex-snapshot
A New Approach to International Arbitrage Pricing
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05171.xopenalex-snapshot
Another Look at the Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05201.xopenalex-snapshot
The Conditional CAPM and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb01113.xopenalex-snapshot
On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00776.xopenalex-snapshot
Consumption, Dividends, and the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01054.xopenalex-snapshot
The Value Premium and the CAPM
inferredcites →https://doi.org/10.2139/ssrn.282986openalex-snapshot
Downside Correlation and Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.406720openalex-snapshot
Optimal Portfolio Choice Under Regime Switching, Skew and Kurtosis Preferences
inferredcites →https://doi.org/10.2139/ssrn.558549openalex-snapshot
The Conditional CAPM Does Not Explain Asset-Pricing Anomalies
inferredcites →https://doi.org/10.2139/ssrn.58442openalex-snapshot
Explaining Returns with Loss Aversion
inferredcites →https://doi.org/10.2307/1907413openalex-snapshot
Safety First and the Holding of Assets
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1914185openalex-snapshot
Prospect Theory: An Analysis of Decision under Risk
inferredcites →https://doi.org/10.2307/2329515openalex-snapshot
Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
inferredcites →https://doi.org/10.2307/2329554openalex-snapshot
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.2307/2329748openalex-snapshot
The Fundamental Theorem of Parameter-Preference Security Valuation
inferredcites →https://doi.org/10.2307/2330199openalex-snapshot
E-V and E-S Capital Asset Pricing Models: Some Empirical Tests
inferredcites →https://doi.org/10.2307/2330813openalex-snapshot
Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence
inferredcites →https://doi.org/10.2307/2331255openalex-snapshot
The Conditional Relation between Beta and Returns
inferredcites →https://doi.org/10.2307/2526578openalex-snapshot
Hypothesis Testing with Efficient Method of Moments Estimation
inferredcites →https://doi.org/10.2307/2676230openalex-snapshot
Autoregressive Conditional Skewness
inferredcites →https://doi.org/10.2307/2938223openalex-snapshot
A Theory of Disappointment Aversion
inferredcites →https://doi.org/10.3386/w10107openalex-snapshot
Generalized Disappointment Aversion and Asset Prices
inferredcites →https://doi.org/10.3386/w11903openalex-snapshot
CAPM Over the Long Run: 1926-2001

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1020263openalex-extracted
Dynamic Option-Based Strategies under Downside Loss Averse Preferences
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inferred← citeshttps://doi.org/10.2139/ssrn.1089381openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1089498openalex-extracted
Persistence of Beliefs in an Investment Experiment
inferred← citeshttps://doi.org/10.2139/ssrn.1106463openalex-extracted
Using Individual Stocks or Portfolios in Tests of Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.1107185openalex-extracted
Is the Distribution of Stock Returns Predictable?
inferred← citeshttps://doi.org/10.2139/ssrn.1107528openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1107718openalex-extracted
Dependence Structure and Extreme Comovements in International Equity and Bond Markets with Portfolio Diversification Effects
inferred← citeshttps://doi.org/10.2139/ssrn.1136332openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1150646openalex-extracted
Forward-Looking Betas
inferred← citeshttps://doi.org/10.2139/ssrn.1262194openalex-extracted
Measuring Downside Risk - Realised Semivariance
inferred← citeshttps://doi.org/10.2139/ssrn.1283170openalex-extracted
The Conditional Relation between Fama-French Betas and Return
inferred← citeshttps://doi.org/10.2139/ssrn.1297376openalex-extracted
Fishing with a Licence: An Empirical Search for Asset Pricing Factors
inferred← citeshttps://doi.org/10.2139/ssrn.1297506openalex-extracted
Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula Model
inferred← citeshttps://doi.org/10.2139/ssrn.1301648openalex-extracted
Risk-Neutral Skewness: Return Predictability and Its Sources
inferred← citeshttps://doi.org/10.2139/ssrn.1317423openalex-extracted
Decentralized Downside Risk Management
inferred← citeshttps://doi.org/10.2139/ssrn.1342441openalex-extracted
Downside Risk, Liquidity and the Size of Credit Spreads
inferred← citeshttps://doi.org/10.2139/ssrn.1343018openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1343626openalex-extracted
Aggregate Volatility and Market Jump Risk: A Risk-Based Explanation to Size and Value Premia
inferred← citeshttps://doi.org/10.2139/ssrn.1353358openalex-extracted
Testing Conditional Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.1360238openalex-extracted
Persistence of Beliefs in an Investment Experiment
inferred← citeshttps://doi.org/10.2139/ssrn.1364158openalex-extracted
Impact of Outliers on Stock Return Models: Implications for Event Studies and the Pricing of Risk
inferred← citeshttps://doi.org/10.2139/ssrn.1364586openalex-extracted
Decentralized Downside Risk Management
inferred← citeshttps://doi.org/10.2139/ssrn.1364622openalex-extracted
Extreme Downside Risk and Expected Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.1416753openalex-extracted
Option-Implied Measures of Equity Risk
inferred← citeshttps://doi.org/10.2139/ssrn.1420356openalex-extracted
Risk and Return in General: Theory and Evidence
inferred← citeshttps://doi.org/10.2139/ssrn.1474863openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1509162openalex-extracted
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Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective
inferred← citeshttps://doi.org/10.2139/ssrn.1565586openalex-extracted
In Search of Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.1567158openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1571689openalex-extracted
Persistence of Beliefs in an Investment Experiment
inferred← citeshttps://doi.org/10.2139/ssrn.1612394openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1632425openalex-extracted
Low Risk and High Returns: Evidence from the German Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.1640322openalex-extracted
When the Favorite Meets the Underdog: Implied Volatility Spread and Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.1668522openalex-extracted
The Downside Risk of Heavy Tails Induces Low Diversification
inferred← citeshttps://doi.org/10.2139/ssrn.1691621openalex-extracted
Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective
inferred← citeshttps://doi.org/10.2139/ssrn.1785390openalex-extracted
Pairwise Correlations
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inferred← citeshttps://doi.org/10.2139/ssrn.1807804openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1814008openalex-extracted
Testing Conditional Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.1828283openalex-extracted
Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off
inferred← citeshttps://doi.org/10.2139/ssrn.1847670openalex-extracted
Aggregate Volatility Expectations and Threshold CAPM
inferred← citeshttps://doi.org/10.2139/ssrn.1860379openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1913365openalex-extracted
Is Value Really Riskier Than Growth?
inferred← citeshttps://doi.org/10.2139/ssrn.1919662openalex-extracted
Corridor Implied Volatility and the Variance Risk Premium in the Italian Market
inferred← citeshttps://doi.org/10.2139/ssrn.1925107openalex-extracted
The Joint Dynamics of Equity Market Factors
inferred← citeshttps://doi.org/10.2139/ssrn.1928101openalex-extracted
Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability
inferred← citeshttps://doi.org/10.2139/ssrn.1928637openalex-extracted
Asset pricing anomalies: Evidence from oil industry
inferred← citeshttps://doi.org/10.2139/ssrn.1929425openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1933209openalex-extracted
Equity Premia and State-Dependent Risks
inferred← citeshttps://doi.org/10.2139/ssrn.1938606openalex-extracted
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
inferred← citeshttps://doi.org/10.2139/ssrn.1955935openalex-extracted
Financial Risk Measurement for Financial Risk Management
inferred← citeshttps://doi.org/10.2139/ssrn.1980614openalex-extracted
Sorting Out Downside Beta
inferred← citeshttps://doi.org/10.2139/ssrn.1988375openalex-extracted
The Effect of Risk Preferences on the Valuation and Incentives of Compensation Contracts
inferred← citeshttps://doi.org/10.2139/ssrn.1992405openalex-extracted
Infrastructure Investments in a Multi-Asset Portfolio – A Drawdown Risk Perspective
inferred← citeshttps://doi.org/10.2139/ssrn.1993287openalex-extracted
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
inferred← citeshttps://doi.org/10.2139/ssrn.2011746openalex-extracted
Crash Sensitivity and the Cross-Section of Expected Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2020774openalex-extracted
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
inferred← citeshttps://doi.org/10.2139/ssrn.2022384openalex-extracted
A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence
inferred← citeshttps://doi.org/10.2139/ssrn.2023066openalex-extracted
Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2023959openalex-extracted
Downside Risk and Long-Horizon Stock Return Reversals
inferred← citeshttps://doi.org/10.2139/ssrn.2041525openalex-extracted
Tailing Tail Risk in the Hedge Fund Industry
inferred← citeshttps://doi.org/10.2139/ssrn.2081619openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2103315openalex-extracted
State-Dependent Momentum in International Stock Markets
inferred← citeshttps://doi.org/10.2139/ssrn.2140184openalex-extracted
On the Estimation of Downside Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2155180openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2180097openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2189497openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2191286openalex-extracted
Dynamic Asset Allocation with Regime Shifts and Long Horizon CVaR-Constraints
inferred← citeshttps://doi.org/10.2139/ssrn.2192336openalex-extracted
Asymmetric Liquidity Risks and Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.2192872openalex-extracted
Volatility Downside Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2224216openalex-extracted
Measuring the Realized Skewness in Noisy Semi-Martingale with Jumps Using High Frequency Data
inferred← citeshttps://doi.org/10.2139/ssrn.2228967openalex-extracted
Conditional Risk Premia in Currency Markets and Other Asset Classes
inferred← citeshttps://doi.org/10.2139/ssrn.2240825openalex-extracted
Extreme Downside Liquidity Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2264456openalex-extracted
Rationalizing Size, Value, and Momentum Effects with a CAPM2
inferred← citeshttps://doi.org/10.2139/ssrn.2265691openalex-extracted
Quantifying Tail Risk with Bad Data
inferred← citeshttps://doi.org/10.2139/ssrn.2273123openalex-extracted
Do Hedge Funds Exploit Rare Disaster Concerns?
inferred← citeshttps://doi.org/10.2139/ssrn.2277396openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2277940openalex-extracted
The Timeliness of Analysts' Earnings Forecasts and the Cost of Capital
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Conditional Betas and Investor Uncertainty
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inferred← citeshttps://doi.org/10.2139/ssrn.2307022openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2309538openalex-extracted
Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
inferred← citeshttps://doi.org/10.2139/ssrn.2321243openalex-extracted
Tail Risk and Asset Prices
inferred← citeshttps://doi.org/10.2139/ssrn.2323458openalex-extracted
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
inferred← citeshttps://doi.org/10.2139/ssrn.2333517openalex-extracted
The Debate Over Doing Good: Corporate Social Performance and Firm-Idiosyncratic Risk (08-111)
inferred← citeshttps://doi.org/10.2139/ssrn.2352485openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2359412openalex-extracted
The Low Downside Risk Effect - Lower Risk and Higher Returns with Low Downside Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2362944openalex-extracted
Asset Pricing with Return Asymmetries: Theory and Tests
inferred← citeshttps://doi.org/10.2139/ssrn.2367225openalex-extracted
Systematic Tail Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2374023openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2376077openalex-extracted
Realised Co-Skewness of the VIX and S&P 500 and the Equity Premium
inferred← citeshttps://doi.org/10.2139/ssrn.2388035openalex-extracted
Empirical Test on the Liquidity-Adjusted Capital Asset Pricing Model
inferred← citeshttps://doi.org/10.2139/ssrn.2398105openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2399359openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2408146openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2409603openalex-extracted
Asset Allocation with Higher Order Moments and Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.2410312openalex-extracted
Security, Potential, Goal Achievement, and Risky Choice Behavior
inferred← citeshttps://doi.org/10.2139/ssrn.2418202openalex-extracted
Do Corporate Cash Holdings Decrease the Impact of Tail Risk Spillovers from the Financial Sector? Evidence from Europe
inferred← citeshttps://doi.org/10.2139/ssrn.2444039openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2460168openalex-extracted
Modelling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas
inferred← citeshttps://doi.org/10.2139/ssrn.2481344openalex-extracted
Betting Against Beta or Demand for Lottery
inferred← citeshttps://doi.org/10.2139/ssrn.2483728openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2486275openalex-extracted
The Carry Trade: Risks and Drawdowns
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inferred← citeshttps://doi.org/10.2139/ssrn.2489764openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2508088openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2517799openalex-extracted
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
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Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance
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Facts and Fantasies About Factor Investing
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inferred← citeshttps://doi.org/10.2139/ssrn.2526730openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2534007openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2541114openalex-extracted
Fire Sales, Indirect Contagion and Systemic Stress Testing
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inferred← citeshttps://doi.org/10.2139/ssrn.2545577openalex-extracted
Kőszegi-Rabin Preferences, Downside Risk and Loss Averse Portfolio Choice
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The Term Structure of Credit Spreads and the Cross-Section of Stock Returns
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inferred← citeshttps://doi.org/10.2139/ssrn.2593519openalex-extracted
Low Risk Anomalies?
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Good Carry, Bad Carry
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Equity Risk Premium Predictability from Cross-Sectoral Downturns
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Skewness and Co-Skewness in Bond Returns
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Volatility-Managed Portfolios
inferred← citeshttps://doi.org/10.2139/ssrn.2669101openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2683914openalex-extracted
Option-Implied Idiosyncratic and Systematic Risk in the Cross-Section of Expected Stock Returns
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Upside and Downside Risks in Momentum Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2695835openalex-extracted
The Factor Structure of Time-Varying Discount Rates
inferred← citeshttps://doi.org/10.2139/ssrn.2702822openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2756961openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2772730openalex-extracted
Testing Asymmetry in Dependence with Copula-Coskewness
inferred← citeshttps://doi.org/10.2139/ssrn.2774880openalex-extracted
Lotto, How to Win? Skew Timing Strategies
inferred← citeshttps://doi.org/10.2139/ssrn.2787412openalex-extracted
Can Higher-Order Risks Explain the Credit Spread Puzzle?
inferred← citeshttps://doi.org/10.2139/ssrn.2788368openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2803181openalex-extracted
Diversification by U.S. Banks: True Safety or a False Sense of Security?
inferred← citeshttps://doi.org/10.2139/ssrn.2811433openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2819910openalex-extracted
Common Risk Factors in the Cross-Section of Corporate Bond Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2841959openalex-extracted
Pricing Dollar Strength Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2842269openalex-extracted
Accounting-Based Estimates of the Cost of Capital: A Third Way
inferred← citeshttps://doi.org/10.2139/ssrn.2850278openalex-extracted
Asset Pricing with Extreme Liquidity Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2859983openalex-extracted
Default Risk and the Market Skewness Risk Effect
inferred← citeshttps://doi.org/10.2139/ssrn.2870284openalex-extracted
Financial Intermediation and the Market Price of Risk: Theory and Evidence
inferred← citeshttps://doi.org/10.2139/ssrn.2871737openalex-extracted
Bear Beta
inferred← citeshttps://doi.org/10.2139/ssrn.2874056openalex-extracted
Asset Pricing Under Prior-Induced Beta Uncertainty
inferred← citeshttps://doi.org/10.2139/ssrn.2874252openalex-extracted
ESG Shareholder Engagement and Downside Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2877966openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2887956openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2888071openalex-extracted
Systematic Tail Risk
inferred← citeshttps://doi.org/10.2139/ssrn.2888147openalex-extracted
Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition
inferred← citeshttps://doi.org/10.2139/ssrn.2914134openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2915906openalex-extracted
Option-Implied Systematic Disaster Concern
inferred← citeshttps://doi.org/10.2139/ssrn.2917694openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2932750openalex-extracted
Investigating Linkages between U.S. CDS Spreads and Both Equity Market Price and Equity Market Volatility Channels: A Quantile Cointegrating Regression Approach
inferred← citeshttps://doi.org/10.2139/ssrn.2943640openalex-extracted
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
inferred← citeshttps://doi.org/10.2139/ssrn.2955646openalex-extracted
Fire Sales, Indirect Contagion and Systemic Stress Testing
inferred← citeshttps://doi.org/10.2139/ssrn.2972964openalex-extracted
A Reconsideration of the Equity Premium Puzzle
inferred← citeshttps://doi.org/10.2139/ssrn.2996297openalex-extracted
VAR and Stress Tests: The Impact of Fat-Tail Risk and Systemic Risk on Commercial Banks in Hong Kong and China
inferred← citeshttps://doi.org/10.2139/ssrn.3000824openalex-extracted
Market-Beta and Downside Risk
inferred← citeshttps://doi.org/10.2139/ssrn.3019861openalex-extracted
Partial Moment Momentum
inferred← citeshttps://doi.org/10.2139/ssrn.3024086openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3029017openalex-extracted
Reference Point Formation - Does the Market Whisper in the Background?
inferred← citeshttps://doi.org/10.2139/ssrn.3048002openalex-extracted
Stratified Market Risk--An Analysis of Two Markets
inferred← citeshttps://doi.org/10.2139/ssrn.3049245openalex-extracted
Accounting-Based Estimates of the Cost of Capital: A Third Way
inferred← citeshttps://doi.org/10.2139/ssrn.3064263openalex-extracted
Variance Premium, Downside Risk, and Expected Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3074550openalex-extracted
The Memory of Stock Return Volatility: Asset Pricing Implications
inferred← citeshttps://doi.org/10.2139/ssrn.3099738openalex-extracted
Financial Sector Volatility Connectedness and Equity Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3108007openalex-extracted
Asymmetry in Variance: Does It Matter to Stock Returns? *
inferred← citeshttps://doi.org/10.2139/ssrn.3114764openalex-extracted
The Contribution of Mispricing to Expected Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3133993openalex-extracted
Does it Pay to Follow Anomalies Research? International Evidence
inferred← citeshttps://doi.org/10.2139/ssrn.3141416openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3167883openalex-extracted
Does Corporate Social Responsibility Impact Risk?
inferred← citeshttps://doi.org/10.2139/ssrn.3186708openalex-extracted
Sentiment-Conditional Risk Premium in Financial Markets
inferred← citeshttps://doi.org/10.2139/ssrn.3189810openalex-extracted
Variance Premium, Downside Risk, and Expected Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3190027openalex-extracted
Multivariate Crash Risk
inferred← citeshttps://doi.org/10.2139/ssrn.3194196openalex-extracted
Risk Measures for Investment Values and Returns Based on Skewed-Heavy Tailed Distributions: Analytical Derivations and Comparison
inferred← citeshttps://doi.org/10.2139/ssrn.3195174openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3197408openalex-extracted
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
inferred← citeshttps://doi.org/10.2139/ssrn.3200095openalex-extracted
Return Dispersion and the Cross-Section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3208859openalex-extracted
Disentangling the Effects of News, Small Jumps, and Large Jumps on Stock Return Predictability
inferred← citeshttps://doi.org/10.2139/ssrn.3211954openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3221471openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3225034openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3235354openalex-extracted
Expected Jumps and the Cross-Section of Equity Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3238976openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3251835openalex-extracted
Crash-o-phobia in Currency Carry Trade Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3256204openalex-extracted
Sticky Prices and the Value of Public Information: What Can Financial Markets Tell Us?
inferred← citeshttps://doi.org/10.2139/ssrn.3264802openalex-extracted
A Fundamental Factor Model
inferred← citeshttps://doi.org/10.2139/ssrn.3274538openalex-extracted
Asymmetric Network Connectedness of Fears
inferred← citeshttps://doi.org/10.2139/ssrn.3285156openalex-extracted
Optimal Portfolio Diversification via Independent Component Analysis
inferred← citeshttps://doi.org/10.2139/ssrn.3290363openalex-extracted
Common Factors in Equity Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3296750openalex-extracted
Does Tail Dependence Make a Difference in the Estimation of Systematic Risk?: ∆CoVaR and MES
inferred← citeshttps://doi.org/10.2139/ssrn.3298720openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3319174openalex-extracted
News, Skewness, and the Cross-section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3338889openalex-extracted
The Cross Section of Monetary Policy Announcement Premium
inferred← citeshttps://doi.org/10.2139/ssrn.3352388openalex-extracted
Downside Risk Sensitivity and Conditional Stochastic Dominance in Euro Area Stock Markets
inferred← citeshttps://doi.org/10.2139/ssrn.3353903openalex-extracted
The CAPM Holds
inferred← citeshttps://doi.org/10.2139/ssrn.3372359openalex-extracted
Underreaction to Macroeconomic News Announcements and the Downward-Sloping Security Market Line
inferred← citeshttps://doi.org/10.2139/ssrn.3393068openalex-extracted
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