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stock return predictability, option-implied volatility smirks, cross-sectional asset pricing
Systematic risk, stochastic volatility, idiosyncratic volatility
asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect
asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments
default risk, equities, Merton's (1974) model, size and book-to-market effects
idiosyncratic volatility, Fama-MacBeth regression
Uncertainty, Volatility, Straddle, Earnings Announcement
municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes
Value, growth, economic fundamentals, business cycles, VAR
Asset pricing, Investment growth
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GMM
Value stocks, growth stocks, regime switching, time-varying expected returns, real flexibility
default risk, Merton's (1974) model, abnormal equity returns, credit rating downgrades/upgrades, size, book-to-market
risk-shifting, idiosyncratic volatility puzzle, profitability, agency conflict
investor sentiment index, return predictability, business cycle
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure
municipal bonds, income and capital gains tax, de minimis boundary, public finance
municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate
municipal bonds, advance refunding, public finance
Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test
Stock-bond relationship, Lead-lag relationship, Firm-specific information, Market efficiency
distress risk, bankruptcy, skewness, stock returns
Guidance, Extrapolation, Over-extrapolation, Earnings
Municipal debt, tax-exempt bonds, public finance, tax subsidy
G12
