Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel approach mapping … consumption risk exposures to firm characteristics, we combine the traditional portfolio-level approach to testing asset pricing … models with firm-level information to measure firm-level risk exposures. First, at the portfolio level, we investigate the …

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

This paper revisits the fit of disaster risk models where a representative agent has recursive preferences and the … unit root interest rates and a puzzling ranking of volatilities between the risk free rate and the expected return on … to reduce the Sharpe Ratio, a lower elasticity of substitution generates a more reasonable level for the equity risk …

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

declines, because peers care less about future cooperation. We decompose industries' exposure to consumption risk into two …

We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …

We propose new systematic tail risk measures constructed using two different approaches. The first extends the … market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for … other measures of downside risk, including downside beta, co-skewness and co-kurtosis. Using these measures, we examine the …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock … returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and … or nonexistent options. Empirically, the tail risk factor extracted from S\&P 500 returns has a 90% correlation with the …