Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a … empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly …

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to "good news," but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset … of established asset-pricing models that assume constant risk aversion across maturities. …

of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …