We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …

climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …

plausibly exogenous changes in expectations about the level of a carbon tax in Germany. The risk-adjusted return on two … criteria to hedge climate change risk because physical risks have not yet fully materialized and policies to combat climate …

We develop a measure of how information events impact investors' expectations of risk. The measure is broadly … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk profiles, costs of capital, and future investments. We further highlight pitfalls of using …

This paper examines the exposures of low-volatility portfolios to various sources of systematic risk. Our analysis … includes interest rate, implied volatility, liquidity, commodity, sentiment, macroeconomic, and climate risk factors. We find … that low-volatility portfolios lower the exposure to all significant drivers of systematic risk. The risk reductions vary …

-parameter distribution. It is possible to define Risk and Return as a generic function of these two parameters. This paper determines the … Differential Conditions for the definitions of Risk and Return that maintain the Risk Aversion property in the 3D space of the Risk …The condition of Risk Aversion implies that the Utility Function must be concave. Taking into account the dependence of …

, suggesting imperfect risk sharing. We build a model to understand how cross-sectional heterogeneity in inventories shapes … successors' queue positions and adverse selection risk. Depth is maximized (minimized) if large inventory MMs arrive early (late …

We investigate how information choices impact equity returns and risk. Building on an existing theoretical model of …. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a …