-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We … market risk premium in distressed firms; (ii) negative covariance generates low stock returns and negative alphas among those … firms; and (iii) firms with a lower distress risk premium endogenously choose higher leverage, so they are more likely to …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

We study the term structure of variance (total risk), systematic, and idiosyncratic risk. Consistent with the …

their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

We hypothesize that earnings downside risk, capturing the expectation for future downward operating performance …, contains distinct information about firm risk and varies with cost of capital in the cross section of firms. Consistent with … the validity of the earnings downside risk measure, we find that, relative to low earnings downside risk firms, high …

We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance … that drives the variance risk premium …

This paper introduces a new tail risk measure based on the risk-neutral excess expected shortfall of a cross-section of … stock returns. We propose a novel way to risk neutralize the returns without relying on option price information …. Empirically, we illustrate our methodology by estimating a tail risk measure over a long historical period based on a set of size …

conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these … conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk …

, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty … may be subsumed by credit or default risk. We provide empirical evidence consistent with Merton's (1974) default risk …