that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find …

riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of …

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … default risk and provide a more exhaustive test of stock returns using univariate and double-sorted portfolios. The results … firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn …