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The Local Downside Risk Premium

https://doi.org/10.2139/ssrn.5019010
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Common risk factors in the returns on stocks and bonds
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The demand for public information by local and nonlocal investors: Evidence from investor-level data
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-snapshot
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2012.06.007openalex-snapshot
Geographic dispersion and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.001openalex-snapshot
Conditional risk premia in currency markets and other asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.032openalex-snapshot
News implied volatility and disaster concerns
inferredcites →https://doi.org/10.1016/j.jfineco.2017.09.005openalex-snapshot
Is economic uncertainty priced in the cross-section of stock returns?
inferredcites →https://doi.org/10.1016/j.jfineco.2018.03.010openalex-snapshot
Downside Risks and the Cross-Section of Asset Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2018.09.006openalex-snapshot
Bear beta
inferredcites →https://doi.org/10.1016/j.jfineco.2020.08.006openalex-snapshot
Can Unpredictable Risk Exposure Be Priced?
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.056openalex-snapshot
Realized semibetas: Disentangling “good” and “bad” downside risks
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s0022109018000121openalex-snapshot
Crash Sensitivity and the Cross Section of Expected Stock Returns
inferredcites →https://doi.org/10.1017/s002210901800114xopenalex-snapshot
The Effect of Financial Flexibility on Payout Policy
inferredcites →https://doi.org/10.1086/322088openalex-snapshot
The Geography of Investment: Informed Trading and Asset Prices
inferredcites →https://doi.org/10.1093/rapstu/rau006openalex-snapshot
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhac049openalex-snapshot
The Disutility of Stock Market Losses: Evidence From Domestic Violence
inferredcites →https://doi.org/10.1093/rfs/hhj013openalex-snapshot
Hedging, Familiarity and Portfolio Choice
inferredcites →https://doi.org/10.1093/rfs/hhj035openalex-snapshot
Downside Risk
inferredcites →https://doi.org/10.1093/rfs/hhu039openalex-snapshot
Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-snapshot
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhz108openalex-snapshot
Symmetric and Asymmetric Market Betas and Downside Risk
inferredcites →https://doi.org/10.1093/rfs/hhz138openalex-snapshot
Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/hhz145openalex-snapshot
Geographic Lead-Lag Effects
inferredcites →https://doi.org/10.1111/0022-1082.00181openalex-snapshot
Home Bias at Home: Local Equity Preference in Domestic Portfolios
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00730.xopenalex-snapshot
Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00895.xopenalex-snapshot
Does Corporate Headquarters Location Matter for Stock Returns?
inferredcites →https://doi.org/10.1111/jofi.12017openalex-snapshot
State‐Level Business Cycles and Local Return Predictability
inferredcites →https://doi.org/10.1111/jofi.12084openalex-snapshot
Time‐Varying Fund Manager Skill
inferredcites →https://doi.org/10.1111/jofi.12386openalex-snapshot
Worrying about the Stock Market: Evidence from Hospital Admissions
inferredcites →https://doi.org/10.1111/jofi.12465openalex-snapshot
Local Risk, Local Factors, and Asset Prices
inferredcites →https://doi.org/10.1561/104.00000108openalex-snapshot
Simply Better Market Betas
inferredcites →https://doi.org/10.2139/ssrn.2961979openalex-snapshot
Replicating Anomalies
inferredcites →https://doi.org/10.2307/2282415openalex-snapshot
Portfolio Selection: Efficient Diversification of Investments.
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