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 …

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 …

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk … shows that both financial effects increase significantly during crises. Strikingly, the risk-return tradeoff is … international stock markets confirm the increase in the leverage effect, whereas the international evidence on the risk …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

international equity market diversification and risk management. …

We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013 …. We evaluate a "real-minus-implied risk premium", defined as the difference between real and option-implied returns, which … reveals a doubling of the risk-aversion of investors, from 8% in the pre-crisis to 16% in the post-crisis period. Granger …