The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …

Recent studies find that idiosyncratic risk (IR) has increased since the 1960's and attribute this to economy wide …&D intensity and the volatility of its returns. -- Idiosyncratic Risk ; Volatility ; Technological Change ; Industry Life Cycle …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility … model completed by liquidly traded options. Empirical market price of orthogonal risk and risk aversion surfaces as well as … their time series are obtained from traded option prices. It is found that implied risk aversion exhibits a smiling pattern …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing non … risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on …

expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure … in the market risk premium …

a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty … on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and …

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter …, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives … investors' risk attitudes, including possibly distinct preferences over different volatility-related aspects of the returns …