(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …

reformulation of risk reward concepts in these terms. It is shown the exponential variation replaces the mean as a reward concept …. Risk is measured by the shaves and add-ons implicit in the bid and ask prices of two price economies. An analysis of … markets reveals that these two sided risk measures significantly impact rewards in the markets for stocks, stock spreads, and …

.g., Profitability and Investment) perform particularly well when traditional portfolios (e.g., 60/40 or risk parity portfolios) exhibit …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

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 …

markets via the discount rate effect, resulting in a higher risk premium. Our results are important for investors, corporate …

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 …