This paper explores a way to construct a new family of univariate probability distributions where the parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution nests two well known families of...

Standard consumption-based asset pricing models focus on the consumption risk, seen as the only source of fluctuations and information about risk for the informed investor. These models, however, can account for high expected excess stock return only when assuming implausible relative risk...

Purpose: This study examines the effect of dividend policy on the ex ante probability of stock price crash and the ex ante probability stock price jump. Design/methodology/approach: We use the data of publicly listed non-financial firms from France and the ex ante measures of crash and jump...