We uncover significant asymmetric effects of realized jump risks on conditional equity premium. Negative or ``bad'' (positive or ``good'') jumps predict a rising (falling) near-term equity premium. The signed jump risk measures remain statistically significant even when we control for the...

Using the liquidity-adjusted CAPM (LCAPM) model, we estimate three time-varying illiquidity risks based on the DCC-GARCH(1,1) for 49,351 common stocks of which 20,678 trade in 60 emerging markets and the remaining 28,673 in 23 developed markets. The reported evidence from the cross-sectional...