In this article we examine the risk factors that help explain long/short equity (LSE) mutual fund performance. We show …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of …

We examine hurricane exposure as a systematic risk factor in the US stock market. Motivated by a consumption …-based asset pricing model with heterogeneous agents, we derive a necessary and sufficient condition for a hurricane risk premium … in the cross-section of stock returns. Empirically, we find that -- in the period from 1995 to 2020 -- stocks with a low …

extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …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 …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock … returns. In the period from 1995 to 2019, domestic U.S. stocks with the most negative sensitivity to thunderstorm losses … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …

classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are …

. Section SD derives the Euler equations that serve as the asset pricing moments in the long-run risk model and the disaster … risk model. Section SE considers the long-run risk model and shows that the Gaussian limit is an innocuous assumption …