We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

gain learning may contribute towards explaining the stock price and return volatility as well as the predictability of …

that this ‘insurance’ – referred to as the Greenspan put – is consistent with the observation that implied volatility rises …

information is incorporated into prices and volatility increases. Public information, in such environments, has the important …

and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

applications of our theory. We first show that predictions of our model provide a novel theoretical justification and are … theory of debt versus equity. Third, we provide conditions under which permanent over- or under-pricing of assets is …