This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR …), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk …-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE …

This is the first study on the risk-neutral distribution of option returns. We derive solutions for the risk … further out-of-the-money (in-the-money). The risk-neutral moments of call returns are increasing in the volatility of the … with put return moments. We find that the magnitudes of the risk-neutral and physical moments differ substantially …

months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more … liquidity shocks, different sample periods, and after controlling for various risk factors and firm characteristics. Furthermore …