significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term …

In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta …-hedged option returns. We find strong evidence of risk continuation in option returns. Specifically, options with a high risk … component significantly outperform those with a low risk component. The risk-based option momentum strategy is highly profitable …

We show that the conditional risk estimation in the ICAPM model (Merton, 1973) should contain the unspanned uncertainty … significant risk-return tradeoff in both aggregated market and stock cross-section, in both short and long run, and both in and …-investment portfolio buying stocks in the top unspanned risk decile and selling stocks in the bottom decile can generate a Fama …

In this paper, we provide an estimate of the ex-ante risk premia on earnings announcements based on the option market …. We find that the risk premia are time-varying and have predictive power on future stock returns. With our ex-ante risk … when the risk premia are high. After controlling for the announcement risk premia, the PEAD factor of the literature no …