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 …

This paper investigates whether analysts' optimism affects the stock crash risk. Analysts' optimism can increase stock … crash risk either by inducing overvaluation or by providing managers an opportunity to withhold bad news. Using analysts … stock crash risk. Further, such a positive impact is more pronounced for firms with opaque information environment and for …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

-asset classes and factors and test the long-term performance of U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity … measured risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower … expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

We investigate whether non-GAAP earnings disclosures increase stock price crash risk. Consistent with the notion that … increases crash risk. We also find that managers use income-increasing non-GAAP reporting as a substitute for withholding bad …

momentum prediction has been proved, the predictors can be applied to momentum risk management. I introduce two new momentum … been used before. I then introduce a new method of momentum risk management that has a lower transaction cost than existing …