We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

This paper investigates whether analysts' optimism affects the stock crash risk. Analysts' optimism can increase stock … crash risk either by inducing overvaluation or by providing managers an opportunity to withhold bad news. Using analysts … stock crash risk. Further, such a positive impact is more pronounced for firms with opaque information environment and for …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

This paper addresses this question with an asset-pricing model featuring endogenous corporate policies. Long-run risk … reflects a firm's profit exposure to slowly-moving expected consumption growth, whereas short-run risk captures the exposure to … frequent unexpected changes in consumption growth. Long-run risk reduces a firm's optimal leverage while driving most of the …

This paper introduces a new tail risk measure based on the risk-neutral excess expected shortfall of a cross-section of … stock returns. We propose a novel way to risk neutralize the returns without relying on option price information …. Empirically, we illustrate our methodology by estimating a tail risk measure over a long historical period based on a set of size …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …