Based on intraday data for a large cross-section of individual stocks and exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the cross-section of asset returns. Specifically, we find...

We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we uncover an uncertainty hub role for the communications,...

We propose a new model of asset returns with common factors that shift relevant parts of the stock return distributions. We show that shocks to such non-linear common movements in the panel of firm's idiosyncratic quantiles are priced in the cross-section of the US stock returns. Such risk...

Based on intraday data for cross-section of individual stocks and exchange traded funds we show that transitory as well as persistent fluctuations of realized market and average idiosyncratic higher moments risks are priced in the cross-section of asset returns. We document that investors...

We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define a \textit{quantile...

This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and sells net-transmitters of short-term linkages between...

This paper examines the pricing of short-term and long-term dynamic network risk in the cross-section of stock returns. Stocks with high sensitivities to dynamic network risk earn lower returns. We rationalize our finding with economic theory that allows the stochastic discount factor to load on...