Asset Pricing, Default Risk. - The central question of this thesis is whether firm distress risk explains stock returns …. This question is important because it has been suspected that distress risk might reconcile a growing evidence on patterns …

Rational investors are in general risk averse. An important implication of this risk aversion is that investors may … demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of such risk premiums …. They are defined as the difference between a particular statistical moment of the risk-neutral return distribution and the …

predictions of the adaptive Lasso and find significant benefits in terms of absolute and risk-adjusted returns. In the third paper …