law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk … VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

volatility sorted portfolios. Our time-series analyses document significant portfolio return exposures to aggregate tail risk. In …We examine the impact of tail risk on the return dynamics of size, book-to-market ratio, momentum, and idiosyncratic … particular, portfolios that contain small, value, high idiosyncratic volatility, and low momentum stocks exhibit negative and …