We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

This paper provides a general framework for integration of high-frequency intraday data into the measurement … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications …

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the … earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …