risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We … for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors …

We find a positive and significant relation between forecasted idiosyncratic volatility andreturns in a large … empirical results reveal substantialcross-country variation in the magnitude of the idiosyncratic risk premiums. Consistentwith … classic asset pricing theory (e.g., Markowitz, 1959; Merton, 1987), we find thatidiosyncratic risk premiums are positively …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …