issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …