Political risk, one of the most significant uncertainty shocks, affects firms' future attitudes toward risks and plays … a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore …, this paper probes the relationship between firm-level political risk and stock price crash risk based on a sample of …

-established determinants of returns from the real world also affect asset prices in this market, despite the absence of systematic risk. The …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … securities during the period 1999–2005. We find that discrete jumps contribute between 15% and 25% of total asset risk for all … equity index futures, and between 45% and 75% of total risk for Treasury bond futures. Jumps occur roughly once every five …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor …, which we call "displacement risk.'' This risk helps explain several empirical patterns, including the existence of the … growth-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk …

risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability … of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion … differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in …

-independent heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to … predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion … differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in …