) Larger cross-sectional book-to-market medians and spreads - price of risk proxies - predict larger market (in sample), size …, value, and investment premiums; (ii) the investment and profitability spreads - factor risk (quantity) proxies - only … forecast the investment and profitability premiums, respectively, especially when conditioned on the price of risk. This …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust … across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

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 …