Models of capital structure and credit risk make predictions about market valuations of debt, but are routinely tested …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

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

This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require … compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual …

risk through screening at origination and monitoring after origination, but is subject to moral hazard. We show that the …

improvement of the targeted ESG score without reducing the risk-adjusted performance but with significant biases in regional …, sectoral, and risk factor exposures. We find that screening is very often associated with a substantial improvement in the risk … profile. In particular, ESG-tilted portfolios lead to large negative exposure (i.e., protection) to credit risk. Screening …