-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of …

distressed stocks, and of small growth stocks. Based on a counterintuitive result relating option prices to jump risk (Merton 76 … generate lower expected returns and higher valuation ratios among smaller firms. Consistent with the model, high failure risk … traits characterize small growth stocks, and a failure risk factor subsumes small growth returns while explaining several …

distressed stocks, and of small growth stocks. Based on a counterintuitive result relating option prices to jump risk (Merton … failure risk traits characterize small growth stocks, and a failure risk factor subsumes small growth returns while explaining …

being financially constrained leads to an increase in risk premia. Even for a small adverse shock to productivity a drop in … framework a constraint on leverage induces countercyclical risk premia in equity markets even when it does not bind. …

, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …. These comovements generate large credit risk premia for investment grade firms, which helps address the "credit spread …

the glitch was resolved. The evidence is consistent with a mechanism whereby option market makers face risk of being …