We examine the association between changes in companies' textual risk disclosures in 10-K filings and changes in stock … market and analyst activity around the filings. We find that annual increases in risk disclosures are associated with … increased stock return volatility and trading volume around and after the filings. Increases in risk disclosures are also …

This paper examines the effect of textual risk disclosure on the amount of firm-specific information incorporated into … synchronicity is inversely associated with risk disclosure, suggesting that risk disclosure is firm specific and useful to investors …. In addition, our results document that the usefulness of risk information is statistically and economically more …

We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a … structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about … climate risks. The model predicts a negative relation between the informativeness of climate risk disclosure and the CDS …

academics in their perceptions of Item 1A risk factor disclosure effectiveness. Because most academic evidence relies on pre …-financial crisis data, we compare changes in risk factor disclosure informativeness before and after the crisis as a possible … bond markets react to unexpected risk factor disclosures in the period leading up to the financial crisis (2006-2008), the …

We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay … disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia … rise before disclosures, drop when disclosures occur, and then rise again. Conditional risk premia can be much larger than …

information relevant to assessing firm risk. Using a sample of Canadian oil and gas (O&G) firms between 2004 and 2011, we find … risk, and credit risk. We also find that disclosure of increased reserves dispersion is associated with weaker stock price … information about risk associated with reserves. Additional tests reveal little evidence of managerial opportunism in the reserves …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …