We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …

measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise … parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …

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 …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

volatilities can also be constructed specific to, and different across, option contracts. Applying the new theory to the S&P 500 … index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that … the extracted risk premium significantly predicts future stock returns …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

issuing defaultable bonds even when underlying firm fundamentals remain unchanged. Hedging (Speculating on) credit risk lowers …