effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …

We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate … exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have …

based on both the level and momentum of economic activity. Applying the Campbell-Shiller decomposition combined with a VAR …

We study international integration of markets for jump and volatility risk, using index option data for the main global … separately, we provide evidence that volatility and jump risk are priced risk factors. There is little evidence, however, of … jump and volatility risk internationally are substantial, but declining. …