positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P500 index option … characterized by high aggregate risk aversion and high expected returns …

-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium … showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high …

, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty … may be subsumed by credit or default risk. We provide empirical evidence consistent with Merton's (1974) default risk …

considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation …. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to … cash flows and discount rates, in understanding equity risk premia …

aggregate scaled-price ratios - including "value spreads" - as price of risk proxies in time series. Prices in scaled …-price ratios reflect risk premiums (and the price of risk), while the scaling variables control for expected cash flows. They … differ from risk proxies (without a price component) that only predict returns in cross-section. The ratios between each …

risk-based, and the other purely statistical. The pricing kernel model expresses the expected return as the covariance of …

We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures … normal levels. Using earnings announcements as information events, we show that AIV is positively associated with informed …. Taken together, our findings support the notion that information risk is priced …