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 …

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … additionally reported. It is observed that risk neutral dynamics by and large reflect the presence of momentum in numerous … probabilities. However, there is some reversion in the upper quantiles of risk neutral return distributions …

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were … proposed as an indicator sensitive to the pertinent risk of financial investment. However this measures are indifferent to … extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index …

correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative …, increasing systematic uncertainty and incentivizing learning about the systematic risk. This learning complementarity leads to … risk concentration …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …