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 …

Changes in average FinaMetrica monthly risk tolerance scores were evaluated during the January 2007 to May 2012 time … influence average risk tolerance scores over time. A strong positive correlation (0.70) between average monthly risk tolerance … scores and the S&P 500 was noted. The standard deviation for average monthly risk tolerance scores was relatively low (1 …

markets we observe active trading and prices strongly driven by average risk perception. While standard finance theory …What people perceive as risk clearly goes beyond variance. Several papers have shown that, e.g., probability of loss … plays a more prominent role in perceived risk than does variance. We are the first to explore how individual risk perception …

This paper documents that when a southern California home gets designated to a wildfire risk zone, its price drops by … 11% relative to homes just outside the designation boundary. Whereas the risk designation is discontinuous, the … underlying risk is continuous — suggesting the price effect is due to greater risk salience rather than greater risk. Moreover …

basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

comparative analysis of risk aversion and ambiguity aversion. The perception of ambiguity is described by a hidden Markovian … premium and risk free rate and can generate asset-price stylized facts like a procyclical price-dividend ratio and …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … reputation on return and risk, being the impact on the risk an area still little explored and with controversial results; thirdly …

the unconditional cross-sectional moments of household consumption growth and the moments of the risk free rate, equity … premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk free rate and price …-dividend ratio are pro-cyclical while the market return has countercyclical mean and variance. Finally, household consumption risk …

dimension of systemic risk and financial constraints as a key determinant of persistence. …