informed trading, suggesting that risk sharing is the most plausible explanation for the reduction in the cost of equity …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …, and volatility risks, its performance presents a challenge to asset pricing models. …

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …, but to a lesser degree than volatility risk. Finally, exposure to our volatility risk proxy also performs well for pricing …

contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise … perceived gains from trade. Investors with lower risk perceptions buy collateralised loans, whose downside-risk they perceive as … small. Investors with higher risk perceptions buy upside-risk through asset purchase and collateralised loan issuance …