We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump risk …

VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms … profit opportunities and increases default risk for debtholders. Equityholders are protected against default risk due to the …

payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

This paper proposes a risk-based explanation of the negative relation between credit spreads and expected equity … risk-adjusted return than high net leverage ones; (ii) risk-adjusted returns on net leverage sorted portfolios are …

We present a structural method for measuring the upper bound for the illiquidity risk of liabilities issued by a … issuing firm's asset risk and leverage ratio. Consistent with the empirical literature the illiquidity spread is positively … related to the issuing firm's asset risk and leverage ratio and the illiquidity component increases with a bond's credit …

similarly rated CB, while investors are not compensated for facing higher systematic risk components in relation to investment …