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idiosyncratic risk, expected stock returns, size, book-to-market, liquidity

idiosyncratic risk, total risk, expected stock returns, size, liquidity

realized volatility, implied volatility, volatility risk, jump risk, stock returns

expected returns, implied volatility, realized volatility, volatility spread

implied volatility, risk premiums, predictability, short-term momentum

implied volatility, risk premiums, return predictability, momentum

hedging, derivatives use, risk management, risk exposure

Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses

Share issues, share repurchases, contrarian investment, expected stock returns, value-to-market ratios

ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

hedge funds, value at risk, cross-section of expected returns, liquidity

reversion, fat-tailed distributions, diffusion, GARCH, stochastic volatility

expected stock returns, maximum returns, idiosyncratic volatility, skewness

operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution

operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution.

extreme value, realized volatility, high-frequency returns, GARCH, implied volatility

Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies

Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model.

Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model.

Hedge Funds, Return Predictability, Risk Factors

conditional value at risk, GARCH, skewed generalized t distribution, conditional skewness and kurtosis

ICAPM, intraday data, stock market volatility, stock market returns, risk-return tradeoff

hedge funds, systematic risk, residual risk, return predictability

hedge funds, systematic risk, residual risk, return predictability

hedge funds, systematic risk, time-varying risk, return predictability

hedge funds, systematic risk, time-varying risk, return predictability

unusual news events, volatility shocks, differences of opinion

idiosyncratic volatility shocks, unusual news events, divergence of opinion

dynamic conditional beta, conditional CAPM, ICAPM, expected stock returns

Dynamic conditional beta, conditional CAPM, ICAPM, expected stock returns

ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean

G12; G13; C51

Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

Expected stock returns, liquidity, stock market reactions, underreaction, investor attention

ICAPM, risk-return tradeoff, risk aversion, intertemporal hedging demand, conditional covariance

earnings, dividends, stock returns, market returns, predictability, business cycle

Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

Short-term interest rates, nonlinearity, drift, diffusion, jumps, GARCH, stochastic volatility

Cross-Section of Expected Returns, Risk-Neutral Skewness

Cross-Section of Expected Returns, Risk-Neutral Skewness

Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns

mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

tail risk, downside risk, under-diversification, expected stock returns

tail risk, downside risk, under-diversification, expected stock returns

tail risk, downside risk, under-diversification, expected stock returns

Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, and MPPM

Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, MPPM

expected market returns, volatility spreads, variance risk premia, information based explanation

foreign exchange market, ICAPM, high-frequency data, time-varying risk aversion

stock index futures, international futures markets, risk-return tradeoff, GARCH-in-mean.

Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium

Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity

Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta

international equity returns, country-specific risk, idiosyncratic risk, systematic risk

book-to-market ratio, expected returns, international stocks markets, G7 countries

Expected Stock Returns, Price Targets, Systematic Risk, Idiosyncratic Risk, Co-Skewness

hedge funds, economic uncertainty, risk factors, return predictability

Idiosyncratic Risk, total risk, average stock risk, stock market volatility, stock returns

Equity Investments: Fundamental Analysis and Valuation Models; Portfolio Management: Equity Strategies; Risk Measurement and Management: Equity Portfolios

Volatility, extremes, term structure of interest rates

implied volatility spreads, conditional skewness, expected market return, information ‡flow, intertemporal risk-return relation

Exchange rate, international capital asset pricing, conditional covariance, risk aversion