The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real time sequential analysis. We find evidence of self-exciting jump clustering since the...

Market liquidity is informative of future corporate defaults but in a nuanced way. A firm's probability of default increases with market illiquidity only when the firm's funding liquidity is tight and/or solvency position is weak. Such relationship persists after controlling for a variety of...

A method for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking risk premium to investors' risk aversion and cumulative return's forward-looking volatility, skewness and kurtosis. In addition, investor's...