We explore the effects of tax avoidance and tax risk on stock return volatilities of U.S. firms. We find that firms … with very low and very high levels of tax avoidance and firms with high levels of tax risk have more volatile stock returns … expectations; in contrast, tax risk seems to affect stock returns through cash flow and discount rate channels. Furthermore, we …

risk can explain this regularity …

CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The … aggregate volatility risk factor can explain the abnormal return differential between high and low disagreement firms. This … risk. Aggregate volatility risk can also explain why the link between analyst disagreement and future returns is stronger …

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … time varying risk factor loadings. Unconditional alpha subsequently becomes biased when asset ivol correlates with the …

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes …

Previous studies rarely discuss the effect of margin trading on future stock price crash risk, though margin trading is … crash risk. Our empirical results show that neither margin-buying activity nor margin debt are associated with future crash … risk, rejecting mechanisms of both “liquidity provision” and “fire sales”. In contrasts, stocks with more margin …

Previous studies rarely discuss the effect of margin trading on future stock price crash risk, though margin trading is … crash risk. Our empirical results show that neither margin-buying activity nor margin debt are associated with future crash … risk, rejecting mechanisms of both “liquidity provision” and “fire sales”. In contrasts, stocks with more margin …