-probability fearsome risk, people often exaggerate the benefits of preventive, risk-reducing, or ameliorative measures. In both personal …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

Financially distressed stocks in the U.S. earn puzzlingly low returns giving rise to the distress risk anomaly. In this … find a weak relation between the distress anomaly and debt enforcement risk, and a measure of country-level return skewness … shareholders' risk play an important role in shaping distressed stocks returns …

funding risk, I show that funds with a high exposure to market-wide funding shocks - measured by changes in Libor-OIS spreads … - subsequently underperform funds with a low exposure to market-wide funding shocks by $5.99\%$ annually on a risk-adjusted basis (t …=3.53). In line with my theory, the performance difference between low-funding-risk and high-funding-risk funds is …

firms which are the least vulnerable to takeover threat (the least idiosyncratic risk) outperform the others. We also find …

Momentum profits can be explained by exposure to risks omitted from common factor models (distress risk, idiosyncratic … risk, and covariance with corporate bonds) and underreaction to innovations in these risks. Momentum strategies tend to go … long risky stocks with high expected returns. Consistent with risk as a partial explanation of momentum profits, long …

We propose a different way of constructing an idiosyncratic momentum factor using the Barra Global Multi-factor Risk …