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 …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

This paper addresses this question with an asset-pricing model featuring endogenous corporate policies. Long-run risk … reflects a firm's profit exposure to slowly-moving expected consumption growth, whereas short-run risk captures the exposure to … frequent unexpected changes in consumption growth. Long-run risk reduces a firm's optimal leverage while driving most of the …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

We present a novel methodology to calculate the jump-induced tail risk premium for individual stocks and examine its … effect on the following-month’s returns. The existence of a premium for bearing negative jump-induced tail risk is …-induced tail risk has no such significant predictive power. Further, we find that the larger is the magnitude of the premium for …

We combine high-frequency stock returns with risk-neutralization to extract the daily common component of tail risks … perceived by investors in the cross-section of firms. We find that our tail risk measure significantly predicts the equity … premium, variance risk premium and realized moments of market returns at short-horizons. Furthermore, a long-short portfolio …