We provide evidence supporting Rubinstein's (1973) model that if returns are not normal, measuring risk requires more than just measuring covariance. Higher order systematic co-moments should be important to risk-averse investors who are concerned about the extreme outcomes of their investments....

We examine the impact of accounting restatement announcement on firms’ value and information asymmetry for both auction market (NYSE-AMEX) and dealer market (NASDAQ) using a public sample of restatement announcements from 1997 to 2005. In both markets, we document economically and...

In this article we examine whether the traditional characteristic liquidity premium can be explained by market liquidity risk. We find that after adjusting for Pastor and Stambaugh market liquidity factor, the level of traditional liquidity remains priced. Also, consistent with previous studies...