We examine hurricane exposure as a systematic risk factor in the US stock market. Motivated by a consumption …-based asset pricing model with heterogeneous agents, we derive a necessary and sufficient condition for a hurricane risk premium … in the cross-section of stock returns. Empirically, we find that -- in the period from 1995 to 2020 -- stocks with a low …

extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …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 …

We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by … findings, these constraints result in a nonlinear model implying a bounded and positive risk-return relationship. Our empirical … results show that the positive risk-return relation in the U.S. data is statistically significant over the mean return …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an … anticipated increase in variance) has more impact on returns than a negative variance risk premium …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …