dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

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 …

the stochastic discount factor and deviates from the standard security market line when beta risk is priced. When … estimating the model on returns and options we find that allowing for beta risk helps explain the expected returns on the low and …

volatility terms. We derive theoretically the underlying assets' risk-neutral distributions, and we estimate the parameters of … idiosyncratic volatility risk, which turns out to be significantly different from zero for all the stocks in our sample. We … construct portfolios that only load on the idiosyncratic variance, and we propose a measure of idiosyncratic variance risk …

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Oil futures … aggregate outcomes. However, the option-implied tail risk premia are not spanned by traditional macroeconomic and oil market …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …