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 …

of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … risk of bankruptcy are able to meet their short-term liabilities. Liquidity and solvency measured by financial ratios … significantly affect the sensitivity of the rate of return on shares to the risk factors expressed in the CAPM, Fama––French and …

We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …

do not find evidence that liquidity risk and the probability of informed trade influence CoC. Overall, our results …

-to-market spread is a price of risk proxy, while the investment and profitability spreads are factor risk proxies. The evidence …

) Larger cross-sectional book-to-market medians and spreads - price of risk proxies - predict larger market (in sample), size …, value, and investment premiums; (ii) the investment and profitability spreads - factor risk (quantity) proxies - only … forecast the investment and profitability premiums, respectively, especially when conditioned on the price of risk. This …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

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

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other …