We present evidence of differential effects of risk perception in the housing market. We use housing transaction data … near military bases to examine capitalization of potential military jet accident risk in house prices. We find that …

This paper documents that policy uncertainty reduces future stock price crash risk. Our tests show that this negative … crash risk is unlikely to be driven by potential endogeneity. Additional tests show that this negative association is driven …

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 …