future? The usual risk factors are unable to explain the time-series variation in excess returns. In addition, our evidence … of futures prices. We find that the tactical strategies provide higher average returns and lower risk than a long …

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …. These comovements generate large credit risk premia for investment grade firms, which helps address the "credit spread …

In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns … constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities …

financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models …

traditional measure of risk, equity volatility. We show that each variable has a statistically significant effect on the timing of …, and ambiguity increasing the tendency for executives to exercise early in response to risk aversion. Regression estimates …

lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low risk …

the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a … flexible relation between risk premia and the level of risk. Both extensions lead to an improved characterization of observed …