the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and … volatility risk prices yield in option values in comparison to prices extracted from observed option market data. We also present …

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid … average more capital towards holding high idiosyncratic stocks than they do towards low idiosyncratic risk stocks. Contrary to … the prediction that diversification concerns prevent arbitrageurs from holding high idiosyncratic risk stocks, we find …

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …