Investors have to be offered risk premiums to invest in risky assets. These risk premiums take different forms in … different asset markets: equity risk premiums (ERP) in stock markets, default spreads in bond markets and real asset premiums in … economy, the risk aversion of investors, information uncertainty and fear of catastrophe, among other factors. In practice …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

default swap (CDS) spreads and negatively associated with the number of liquidity providers in the CDS market. A 10% increase … in EPU leads to an 8.4% increase in CDS spreads and a 4.0% decrease in the number of liquidity providers. Furthermore …

We show that the prospect of a debt renegotiation favorable to shareholders reduces the firm's equity risk. The equity … favors liquidations over renegotiations. In the limit, when debt contracts cannot be renegotiated, the equity risk is … threat of strategic default can reduce the firm's equity risk …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate … cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta … outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as …

liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …, our model is structurally much simpler, while it also allows for correlation between liquidity and default premia, as …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero … volatility agreement is exposed to volatility carry risk …