coefficient of relative risk aversion below ten. This finding suggests that non-permanent shocks can play an important role in …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

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 …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price …-ante option-based signal for event risk in the underlying stock. Returns on delta-neutral straddles around EADs are significantly … lower in the presence of concave IV curves, showing that investors pay a high premium to hedge against this event risk …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …