We offer evidence that exposures to consumption growth, expected consumption growth, and consumption volatility are significantly priced in the cross-section of delta-hedged option and straddle returns. Consumption growth and expected consumption growth command a positive risk premium, whereas...

We offer evidence suggesting a significantly negative relation between firm-level distress risk and the cross-section of corporate bond returns, analogous to the often negative relation between distress risk and stock returns found in prior studies ("distress anomaly"). Our evidence casts doubts...