risk and the expected future market return. Since a large part of the idiosyncratic risk can be diversified away easily …, the conventional aggregate idiosyncratic risk measures can only be noisy proxies for the undiversified idiosyncratic risk …

We work in the Uncertain Volatility Model setting of Avellaneda, Levy, Paras [1] and Lyons [10] (cf. also [11]). We … first look at European options in a market with no interest rate and focus on theextreme case where the volatility has a … volatility given by the lower bound) of an option with payoff the smallest concave function above the initial payoff. We next …

and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model … is consistent with the main facts about stock market risk premia inferred from equity index options, remains tightly … volatility and return predictability while preserving the model's consistency with option moments …

economic agents could be particularly concerned about severe tail risk, rather than just mean returns. Motivated by present … component of earnings, and gives an economically and statistically significant estimate of crash risk while improving on …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

The idiosyncratic volatility effect of Ang et al. (2006) is robust to restricting the sample to NYSE firms (once proper … volatility effect is also unlikely to stem from the short-run reversal of Jegadeesh (1990), as the idiosyncratic volatility … effect stays significant for about six months. The idiosyncratic volatility effect also does not seem to weaken post-publication …

future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important … dimension of systemic risk and financial constraints as a key determinant of persistence. …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …