We contrast the interventions conducted by the Federal Reserve in response to the
subprime and COVID–19 crises with respect to their effectiveness in reducing disaster risk …

Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global
emerging markets. We find that changes in risk positively predict future stock returns. The …

A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns,
business cycles and financial crises. The literature equates uncertainty shocks with changes …

Using limit order books across all US exchanges, we show that while liquidity for small
orders (eg, the quoted and effective spreads) decreases, liquidity for large orders (eg, the …

We hypothesize that the well-documented negativity bias, the psychological tendency to
asymmetrically emphasize negative over positive aspects, can help explain several financial …

Contrary to well-known asset pricing models, volatilities implied by equity index options
exceed realized stock market volatility and exhibit a pattern known as the volatility skew. We …

We explore the pricing of tail risk as manifest in index options across international equity
markets. The risk premium associated with negative tail events displays persistent shifts …

Fiscal deficits represent an important variable for banks' aggregate credit risk, revealing
governments' ability to curb banks' losses in bad states, either with direct cash infusions or …

Risk correlation is an important feature of financial institutions and a source of systemic risk.
Despite the importance of risk correlation, few studies have examined its mechanism. Based …

Two intermediary-based factors—a corporate bond dealer inventory measure and a broad
intermediary distress measure—explain more than 40 of the puzzling common variation in …