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 …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

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 …

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 …

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 …

In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing … methodology for kurtosis swaps. The expected excess returns on such swaps are interpreted as higher-moment risk premia. I find … evidence supporting an increase in tail risk when variance is low and expectations about economic growth are positive. In such …

risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Oil futures … aggregate outcomes. However, the option-implied tail risk premia are not spanned by traditional macroeconomic and oil market …