Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …

Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities … like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long … contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …