Asymmetric Risks of Momentum Strategies

momentum strategies, proving informational content of accounting profit

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Momentum Profits and Non-Normality Risks

securitization of mortality risks in life annuities

insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...

Strategies in asymmetric catalysis

The stereochemistry of an organic compound can have a profound influence on many of its most important properties. For example, the enantiomeric forms of a drug molecule can have completely different biological effects, and polymers that differ only in the stereochemistry of their backbones can have quite dissimilar macroscopic physical characteristics. Control over the stereochemical outcome o...

Asymmetric liquidity risks and asset pricing

This paper contributes to the debate about the extent to which liquidity risk affects asset prices. Motivated by evidence on downward liquidity spirals, flights to liquidity and investor perceptions of risk, we develop and test a liquidity-adjusted capital asset pricing model in which the key innovation is separating liquidity risk into asymmetric upside and downside risks. Our model bridges th...