We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the … financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models … methodology can be used with any pair of commodity and asset pricing models. An implementation of the methodology is presented …

option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value …

% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option …-implied volatilities, with stocks with high past returns tending to have call and put option contracts which exhibit increases in implied …

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic … approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but … vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible …

Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets … the current body of research for addressing these and other global asset pricing challenges. …

loadings. These findings are consistent with asset pricing theories that relate equity risk premia to rare disasters or other …