A number of studies have found that the cross-section of stock returns reflects a risk premium for bearing downside … risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a … novel measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

-to-market spread is a price of risk proxy, while the investment and profitability spreads are factor risk proxies. The evidence …

This paper empirically describes how the risk premiums of size portfolios vary with macro-economic fluctuations in the … price of risk at the portfolio formation dates, thereby explaining the lack of robustness involving the unconditional size … premium: Only portfolios formed in "bad" states - with price of risk among the largest 30% - earn significantly positive …

We construct an ex-ante measure of the price of risk based on changes in the option-implied concavity of preferences … proportional to the holding period. We test for the difference in the effect of ambiguity aversion on the two types of risk by … risk, as opposed to an increase in the quantity of risk or on-average positive in-sample news. One implication is that a …

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

This paper proposes a risk-based explanation of the negative relation between credit spreads and expected equity … risk-adjusted return than high net leverage ones; (ii) risk-adjusted returns on net leverage sorted portfolios are …

As opposed to the “low beta low risk” convention, we show that low beta stocks are illiquid and exposed to high … liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors … fails to generate any significant returns when liquidity risk is accounted for. Our work helps understand the beta premium …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

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 develop a theory linking "misallocation," i.e., dispersion in marginal products of capital (MPK), to macroeconomic … risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk premia and (ii) the price of risk, and thus is … countercyclical. We document strong empirical support for these predictions. Stock market-based measures of risk premia imply that …