In Search of Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns* Martijn Cremers a Yale School of Management Michael Halling b University of Utah David Weinbaum c Syracuse University This version: March 2011 * We thank Turan Bali, Hank Bessembinder, Joseph Chen, James Doran, Fangjian Fu, Nikunj Kapadia, Shu Yan, Yildiray Yildirim, Hao Zhou and seminar participants at Boston Universi- ty, ESMT Berlin and the 21st Annual Conference on Financial Economics and Accounting (CFEA) at the University of Maryland for helpful comments and discussions. All errors are our responsibility. a Yale School of Management, International Center for Finance, 135 Prospect Street, New Haven, CT 06520. Phone: 203-436-0649. Email: martijn.cremers@yale.edu. b David Eccles School of Business, University of Utah, 1645 E. Campus Center Drive, Salt Lake City, Utah 84112. Phone: 801-581-8368. Email: michael.halling@business.utah.edu. c Whitman School of Management, Syracuse University, 721 University Avenue, Syracuse, NY 13244-2450. Phone: 315-443-3476. Email: dweinbau@syr.edu.