We examine the relationship between total stock market risk and the returns on several long-short portfolios that have been widely regarded as priced risk factors in much of prior literature. We find that shocks to implied volatility and to expected realized volatility are related to the returns...

We propose an aggregate growth index that explicitly accounts for non-normality in the micro-economic distribution of firm growth rates and for the presence of a negative scaling relation between their volatility and the size of the firm. Using Compustat data on US publicly traded company, we...

"We provide a general framework for the study of cascade effects created by interconnections between sectors, firms or financial institutions. Focusing on a multi sector economy linked through a supply network, we show how structural properties of the supply network determine both whether...