We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in … addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we … demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts … holds a linear position in U. When the exposure to the non-tradable risk factor is non-linear, we provide an approximation … cross-impact and risk-aversion are small. We further prove that when exposure to U is non-linear, the approximate optimal …

mean to be negative. The more idiosyncratic is a fund's risk, the more difficult it is to make a copycat issue and the …