adjustment for risk factors and controlling for other predictors. Moreover, low I_BM firms convert more growth options and take …

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. …

We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013 …. We evaluate a "real-minus-implied risk premium", defined as the difference between real and option-implied returns, which … reveals a doubling of the risk-aversion of investors, from 8% in the pre-crisis to 16% in the post-crisis period. Granger …

excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the price of … risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average forward …