Motivated by existing evidence of a preference among investors for assets with lotterylike payoffs and that many investors are poorly diversified, we investigate the significance of extreme positiveâ€¦ (More)

The intertemporal capital asset pricing model of Merton (1973) is examined using the dynamic conditional correlation (DCC) model of Engle (2002). The mean-reverting DCC model is used to estimate aâ€¦ (More)

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlyingâ€¦ (More)

T paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Politicalâ€¦ (More)

Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long positions in low-beta stocks and short positions in high-beta stocks generates a large abnormal return ofâ€¦ (More)

H fundsâ€™ extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditionalâ€¦ (More)

Using two large hedge fund databases, this paper empirically tests the presence and significance of a cross-sectional relation between hedge fund returns and value at risk (VaR). The univariate andâ€¦ (More)

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk toâ€¦ (More)

This paper provides empirical evidence that firm size, liquidity, and Value-at-Risk (VaR) explain the cross-sectional variation in expected returns, while market beta and total volatility have almostâ€¦ (More)