price both systematic (beta and co-skewness) and non-systematic (idiosyncratic volatility) risk when determining the … appropriate rate of return on a security. We demonstrate that price targets contain risk-related information not incorporated into … other ex-ante measures of expected returns, as the risk/reward relations are not present using the other measures. Use of …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

and uncertainty in the exercise of these options. UNC is also associated with information risk, firm inflexibility, and … uncertainty about the current value of the firm's portfolio of assets-in-place and real options, and reflects changes in moneyness … generates 13% annual risk-adjusted return. UNC premium is driven by outperformance of high-UNC (inflexible) firms facing higher …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …