predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and … volatility and expected stocks returns. Relying on forecast revisions from IBES, we construct a new variable that proxies for … this term and show that it explains a signi cant part of the empirical relation between idiosyncratic volatility and stock …

against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …

to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when …

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …