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 …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real …-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …

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 …

, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …

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 …

firms. These effects are more pronounced for firms with high default risk and low liquidity and when the aggregate net worth …

focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and … in relation to fundamentals entails a higher risk of a crash. …

. We achieve statistically significant risk premia by imposing restrictions on the matrix of risk premia. Taken together …

risk premia from the perspective of the standard consumption-based asset pricing model. The relation arises from the fact … consumption of the representative investor. Since the pricing kernel is a function of aggregate consumption, financial risk premia … average risk premia prevailing during the so-called Great Moderation, namely the period preceding the recent turmoil in …