This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

sellers, market makers, and end users. For risk-neutral investors, it leads to faster initial trading compared to the constant … execution rate of Bertsimas and Lo (1998). For risk-averse liquidation as in Almgren and Chriss (1999, 2001) or Huberman and …

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …

markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

collectively with risk. Independently existing ambiguity premium helps to explain why investors appear to underinvest in risky … assets and do not exploit the asymptotic arbitrage opportunity emerged from trading inertia where return volatility (risk) is … and consumption data yields a relative risk aversion coefficient of five, and attributes 23%, 41%, and 36% of the equity …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …