multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower … explains the size effect but not the value premium. After incorporating the two risk factors (Small Minus Big (SMB) and High … Minus Low (HML)), our empirical findings support the positive relationship between market risk and mean returns for big …

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …