naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the … facts about the predictability of excess returns, and their business-cycle dependence. We also test the risk … of excess returns than a risk-premium explanation …

of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

We combine high-frequency stock returns with risk-neutralization to extract the daily common component of tail risks … perceived by investors in the cross-section of firms. We find that our tail risk measure significantly predicts the equity … premium, variance risk premium and realized moments of market returns at short-horizons. Furthermore, a long-short portfolio …

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump risk …

, volatility and cross-country returns correlations, and computation of equity risk premia across holding periods and historical …

, volatility and cross-country returns correlations, and computation of equity risk premia across holding periods and historical …

This paper examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

This paper investigates how the downside tail risk of stock returns is differentiated cross-sectionally. Stock returns … follow heavy-tailed distributions with downside tail risk determined by the tail shape and scale. If safety-first investors … are concerned with sufficiently large downside losses, i.e. have a sufficiently low risk tolerance, then in the …