This study examines the impact of macroeconomic announcements on the risk premium and its sources under time …-varying preference. We propose a novel method to decompose risk premium changes into the risk and preference components, which are … surprise increases (decreases) the risk premium; (2) the risk component mainly drives the increase (decrease) in the risk …

We estimate how an acquiring firm's risk changes depending on whether the market initially judges the acquisition to be …, acquisitions judged negatively by the market result in a 5% increase in total risk, while acquisitions judged positively by the … market feature a 30-basis-point increase in total risk. We found the median acquisition to be value creating, not value …

The distribution of institutional investor risk-taking carries significant explanatory power for the cross-section of … asset returns. We compute an investor-level Value-at-Risk (VaR) measure - our proxy for ex-ante riskiness - from a …

volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …-varying announcement volatility as announcement event risk varies by as much as an order of magnitude over time …