, with pricing errors of similar magnitude as the risk premiums they were designed to explain. We trace the errors to the …

-scheduled macroeconomic announcements. The first risk arises from the uncertain content of the news itself and is directional in nature, while … the second risk is associated with the "heightened uncertainty'' in anticipation of a pre-scheduled announcement, relating … in particular to its potential market impact. Theoretically, we show that it is the resolution of this second risk prior …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

decline in the initial phase of the pandemic. While corporate default risk rises, we find little evidence that debt … risk in the face of disaster …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

We build a structural credit risk model for a risky sovereign having both domestic and foreign debt outstanding. The … country is subject to default risk, has a soft currency, and can be viewed as a small open emerging market economy. The …

addition to the credit risk of the sovereign it reflects a whole set of extra risk factors such as inflation, exchange rate …

We investigate the relationship of the market pricing of sovereign risk to default, through CDS spreads for 16 Eurozone …