Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a …. This measure, derived from statistical extreme value theory, is non-parametric. Extreme down-side risk is used in double …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles … U.S. data and provide a critical re-assessment of the long-run risk model's ability to reconcile the real economy and …

In an asset-pricing model, risk-averse agents need to forecast the conditional variance of a stock's return. A near … self-fulfilling. When agents estimate risk in real time, recurrent bubbles and crashes can arise. These effects are …