returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return … systematic risk or are empirically associated with returns, and find evidence in support of the construct validity of an earnings … be suitable for future researchers requiring a measure of systematic risk …

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array … to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures …

--2015, we find a negative association between female CFOs and future stock price crash risk. However, the impact of female CEOs … on crash risk is not statistically significant. The results support the notion that CFOs play a stronger role than CEOs … crash risk. At last, we show that the negative relation between female CFOs and future stock price crash risk is more …

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 …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new … future returns the “Vo/P anomaly.” We find that this Vo/P anomaly is exacerbated by idiosyncratic risk to a greater extent … than by any other arbitrage risk factor, including institutional ownership, analyst coverage, bid-ask spread, and trading …

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 …

Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be … consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns … the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors …