discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on …

distribution of emission intensity. These results suggest that investors care about and price carbon risk, but only when this risk …

Because of risk aversion, any sensible investment valuation system should value less Projects that contribute more to … the aggregate risk, i.e., that have a larger income elasticity of net benefits. In theory, this is done by adjusting … public and private institutions and people use a discount rate that is rather insensitive to the risk profile of their …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …