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 …

possibility of bubbles depending on the risk-free rate, uncertainty about market depth, and traders’ degree of leverage. This …

stability to turbulence. This indicator is based on the combination of a wide range of market prices of risk, properly … indicator, we discuss the conditional behavior of a basket of liquid assets. When the risk aversion signal breaches certain … thresholds, risky assets dramatically correlate and their risk rewards deteriorate. Sharpe ratios decrease and drawdowns increase …

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk … through public credit registries is negatively associated with future crash risk after controlling for other predictors of … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and … in relation to fundamentals entails a higher risk of a crash. …