This study examines the impact of macroeconomic announcements on the risk premium and its sources under time …-varying preference. We propose a novel method to decompose risk premium changes into the risk and preference components, which are … surprise increases (decreases) the risk premium; (2) the risk component mainly drives the increase (decrease) in the risk …

We estimate how an acquiring firm's risk changes depending on whether the market initially judges the acquisition to be …, acquisitions judged negatively by the market result in a 5% increase in total risk, while acquisitions judged positively by the … market feature a 30-basis-point increase in total risk. We found the median acquisition to be value creating, not value …

The distribution of institutional investor risk-taking carries significant explanatory power for the cross-section of … asset returns. We compute an investor-level Value-at-Risk (VaR) measure - our proxy for ex-ante riskiness - from a …

-stated risk attitudes by exploiting changes in media coverage of economic news. We use information on risk attitudes from the … and the month preceding the date of the risk attitude elicitation. Using fixed effects regressions we observe effects of … that are aggregated over the previous month, however, relates to a decrease in risk aversion if the news are predominantly …

-stated risk attitudes by exploiting changes in media coverage of economic news. We use information on risk attitudes from the … and the month preceding the date of the risk attitude elicitation. Using fixed effects regressions we observe effects of … that are aggregated over the previous month, however, relates to a decrease in risk aversion if the news are predominantly …