This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

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 …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

-asset classes and factors and test the long-term performance of U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity … measured risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower … expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

alpha, in line with our theoretical predictions. Finally, we estimate a significant negative illiquidity risk premium that …

We find that an option-based equity tail risk factor is priced in the cross section of currency returns. Currencies … highly exposed to this factor offer a low risk premium because they hedge against equity tail risk. In a reduced-form model … extracts the global component embedded in the tail risk factor. Inspired by the model, we construct a novel global tail risk …

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures … risk of the Taiwanese firms decreases after the 1997 crisis but is higher after the 2007 crisis increasing thus their …