We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes …

Prior research finds that mandatory risk factor disclosures are informative in that they increase investors … examining the association between Form 10-K risk factor disclosures and future cash flows levels and stock returns. We use the … these risks relate, and offer two main results. First, we find that tax risk factor disclosures are positively associated …

Relations between Real Estate Investment Trust (REIT) efficiency and operational performance, risk, and stock return … results. Results further show that more efficient REITs have lower levels of credit risk and total risk. Perhaps most …

Firms with lower profitability have lower expected returns because such firms perform better than expected when market … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility … risk can explain this regularity …