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 …

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 …

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre … premium. Our theory establishes that the announcement premium identifies a significant deviation from expected utility and …

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre … premium. Our theory establishes that the announcement premium identifies a significant deviation from expected utility and …

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre … premium. Our theory establishes that the announcement premium identifies a significant deviation from expected utility and …

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 …

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 …

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …