by applying ‘extreme value theory', and then use these measures to investigate the information content of option …-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S … tail-risk premium …

I examine whether recently required risk factor update disclosures in quarterly reports provide investors with timely … information regarding potential future negative economic events. Specifically, I examine whether risk factor updates in 10 Q … followed by negative earnings shocks. I find that firms presenting updates to their risk factor disclosures have significantly …