This study tests whether or not investors are compensated for holding stocks with excess kurtosis. Contrary to the risk-based idea, we find a significant negative return premium associated with idiosyncratic kurtosis. These results hold in a number of Fama-MacBeth (1973) regressions that include...

The return premium associated with the illiquidity of stocks is well documented. In this study, we focus our attention on the uncertainty of liquidity. We test whether brief but significant liquidity droughts, as measured by the maximum daily bid-ask spread during a particular month, are...

Morgan (2002) argues that in the banking sector, the inherent opacity of the intermediation process increases the likelihood of bank runs and magnifies the effects of systemic risk. Motivated by this argument, we develop and test the hypothesis that comovement, or the tendency of stock prices to...