We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …

reversion risk arbitrage pricing theory (A-APT), and the mean-reversion risk capital asset pricing model (A-CAPM) price mean …) describes single period risk with long horizon contributions in the frequency domain. Mean-reversion risks correspond to horizon … variances. Mean-reversion risk is measured using the Fourier decomposition of finite length digital returns. Mean-reversion risk …

We analyze whether the timing of public information releases affects risk-sharing and pricing in a pure exchange … results suggesting that early information releases improve risk-sharing, and if the EIS is large enough, they have a negative …

sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …

-run and short-run risk. First, we document that our model can match consumption data of several countries. Second, we show … that in a model with recursive preferences our new channel generates a large equity risk premium even if the consumption …

against ethicalness. We show that when dividends and ethicalness are complementary goods and investors are sufficiently risk …

when dividends and ethicalness are complementary goods and investors are sufficiently risk averse. …