relationship between short-term changes in financial distress risk and future stock price crashes. This result is economically …-fixed effect estimations, and alternative definitions of distress and crash risk measures; they are also robust to a range of tests …-crash risk relationship is driven by managerial opportunism that seeks to camouflage bad news that has an adverse effect on firms …

evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …

, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty … may be subsumed by credit or default risk. We provide empirical evidence consistent with Merton's (1974) default risk …

monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we … show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of … operational risk earned a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000. However …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

mean to be negative. The more idiosyncratic is a fund's risk, the more difficult it is to make a copycat issue and the …