This paper examines whether investors receive a compensation for holding stocks with a strong sensitivity to extreme market downturns in a worldwide sample covering 40 different countries. I find that stocks with strong crash sensitivity earn higher average returns than stocks with weak crash...

We investigate whether investors receive compensation for holding stocks with strong systematic liquidity risk in the form of extreme downside liquidity (EDL) risk. Following the logic of Acharya and Pedersen (2005), we capture a stock's EDL risk by the lower tail dependence between (i)...

We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...

In this dissertation, I study the performance of asset-pricing models in explaining the cross section of expected stock returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I investigate the ability of additional risk factors, which...