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

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

Measuring the impact of political risk on investment projects is one of the most vexing issues in international … business. One popular approach is to assume that the sovereign yield spread captures political risk and to augment the project … discount rate by this spread. We show that this approach is flawed. While the sovereign spread is influenced by political risk …

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a … factors: global economic conditions, country-specific economic factors, liquidity of the country's bond, and political risk …. We then extract the part of the sovereign spread that is due to political risk, making use of political risk ratings. In …

across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how … (conventional and unconventional) monetary policy shocks affect risk and uncertainty in three large economies: the US, euro area …, and Japan. We construct measures of financial risk factors for each country by decomposing option-implied variances of the …