This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new … future returns the “Vo/P anomaly.” We find that this Vo/P anomaly is exacerbated by idiosyncratic risk to a greater extent … than by any other arbitrage risk factor, including institutional ownership, analyst coverage, bid-ask spread, and trading …

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

future stock price crash risk measured both ex ante and ex post. Using a large sample of U.S. public firms with Big Four … auditors, we find robust evidence that auditor tenure is negatively related to one-year-ahead stock price crash risk. The … risk. This result holds even after controlling for endogeneity of the tenure/crash risk relation. We further provide …

future stock price crash risk measured both ex ante and ex post. Using a large sample of U.S. public firms with Big Four … auditors, we find robust evidence that auditor tenure is negatively related to one-year-ahead stock price crash risk. The … risk. This result holds even after controlling for endogeneity of the tenure/crash risk relation. We further provide …

traded firm. From the perspective of corporate risk management theory, higher cash flow volatility should reduce value in the …