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 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 …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

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 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 …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …

. This measure, derived from statistical extreme value theory, is non-parametric. Extreme down-side risk is used in double …Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a …

and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and … is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock … exchange. Hence, investor should compensate for holding such risk factors in the portfolio. …