This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …

This paper reexamines the relation between various downside risk measures and future
equity returns in a global context that spans 26 developed markets. We find that there is no …

Prior research has documented a carbon premium in realized returns, which has been
assumed to proxy for expected returns and thus the cost of capital. We find that the carbon …

In this article, the authors investigate the relation between downside beta and stock returns
in a global context using more than 170 million daily return observations. Contrary to the …

This study reexamines the relation between downside beta and equity returns in the United
States. First, we replicate the 2006 work of Ang, Chen, and Xing who find a positive relation …

We investigate the relationship between expected returns and liquidity measures in Borsa
Istanbul. To do so, we gather a wide range of illiquidity measures that can be applied to the …

Contrary to the theoretical principle that higher risk is compensated with higher expected
return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale …

This study investigates the relation between firm-specific attributes and future equity returns
in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short-…

Momentum strategies have been shown to be robust across asset classes and time periods.
The authors examine the momentum effect in an updated sample of emerging markets and …

This study investigates the price discovery role of exchange-traded funds (ETFs) by examining
the predictive relation between the returns of emerging market ETFs traded in the US and …