Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns

2019 ◽  
Author(s):  
Alejandro Lopez Lira
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Textual Analysis ◽  
The Cross ◽  
Risk Disclosures

scholarly journals Tail Risk and the Cross-Section of Mutual Fund Expected Returns

2018 ◽  
Vol 54 (1) ◽  
pp. 425-447 ◽  
Author(s):  
Nikolaos Karagiannis ◽  
Konstantinos Tolikas
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Risk Premium ◽  
Mutual Fund ◽  
Market Risk ◽  
Expected Returns ◽  
Adequate Explanation ◽  
Tail Risk ◽  
Management Fees ◽  
The Cross

We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on tail risk and a number of fund characteristics. We also find that funds susceptible to tail risk tend to be small, young, have high management fees, and have managers who do not risk their own capital.

Commodity Risk Factors and the Cross-Section of Equity Returns

2014 ◽  
Author(s):  
Chris Brooks ◽  
Adriin Fernnndez-PPrez ◽  
Joelle Miffre ◽  
Ogonna Nneji
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Equity Returns ◽  
The Cross
Sign in / Sign up

Export Citation Format

Share Document