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 …

parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between … results, based on (i) raw and risk-adjusted portfolio returns, (ii) characteristic sorted portfolio returns, and (iii) cross …

that the precautionary savings motive in response to estimation uncertainty can dominate the risk aversion effect … holding horizons, however, estimation uncertainty does induce higher risk premiums on equity over risk-free coupon bonds of …

labor share of income. I show that this channel is generally absent in standard macroeconomic models that do not take risk …

specifications based on Expected Utility Theory and theory drawn from behavioural finance. We assess whether machine learning can … findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than … standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …

, whilst removing credit risk transmission, systematically increase default risk …

We study the endogenous determination of corporate debt maturity in a setting with default risk. We assume that firms … risk. The technology is such that earnings can switch to a higher (but riskier) level. In this second phase firms have … access to the equity market but they may default if this is the best option. We call this strategic default risk. In the …

ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …