We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the … factors also fail to explain the portfolio returns. Neither commonly used metrics of portfolio risk (standard deviation, value …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets …. This paper examines the presence and significance of an intertemporal relation between expected return and risk in the …-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter. Five-minute returns on …

decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find …

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … can be considered as a proxy for jump risk. The parameter estimates from the VAR-bivariate- GARCH model indicate …

price both systematic (beta and co-skewness) and non-systematic (idiosyncratic volatility) risk when determining the … appropriate rate of return on a security. We demonstrate that price targets contain risk-related information not incorporated into … other ex-ante measures of expected returns, as the risk/reward relations are not present using the other measures. Use of …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …