volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …-varying announcement volatility as announcement event risk varies by as much as an order of magnitude over time …- lows to identify announcement returns, capture intraday volatility dynamics, and identify conditional announcement …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

The recent literature provides conflicting empirical evidence on the pricing of idiosyncratic risk. This paper sheds … new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of … the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity …

Intuitively, option-like compensation contracts induce risk-shifting behavior, confirmed by numerous empirical studies …. However, theoretical work has shown that risk shifting should not happen without a definite expiration date of the option …. With a sample of Commodity Trading Advisors (CTAs), we show that increases in risk (interpreted as risk shifting …

We present evidence of differential effects of risk perception in the housing market. We use housing transaction data … near military bases to examine capitalization of potential military jet accident risk in house prices. We find that …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive …) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 … of idiosyncratic risk from the alternative models and throughout different periods …