predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian … trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset … straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …-varying announcement volatility as announcement event risk varies by as much as an order of magnitude over time …- lows to identify announcement returns, capture intraday volatility dynamics, and identify conditional announcement …

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 …

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

The recent literature provides conflicting empirical evidence on the pricing of idiosyncratic risk. This paper sheds … new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of … the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity …

Intuitively, option-like compensation contracts induce risk-shifting behavior, confirmed by numerous empirical studies …. However, theoretical work has shown that risk shifting should not happen without a definite expiration date of the option …. With a sample of Commodity Trading Advisors (CTAs), we show that increases in risk (interpreted as risk shifting …

We present evidence of differential effects of risk perception in the housing market. We use housing transaction data … near military bases to examine capitalization of potential military jet accident risk in house prices. We find that …