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 …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

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 examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing …

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 …

The role of market jump risk premium implicit in individual equity options has not been examined to date. This paper …. We estimate the model on a large cross section of equity returns and options. We find that market jump risk embedded in … market jump and diffusive risk premia affect equity option prices differently. Firms with a larger return compensation for …

We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … swap, the skew swap corresponds to a trading strategy, necessary to assess risk premia in a model-free way. We find that … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

the stochastic discount factor and deviates from the standard security market line when beta risk is priced. When … estimating the model on returns and options we find that allowing for beta risk helps explain the expected returns on the low and …