should not. A risk premia story might justify the high returns to the carry trades. In this paper we study the relationship … risk factors. Asset pricing theory applies to the currency market: those currencies that have larger loading on risk …, especially crash risk, offer a larger mean return in compensation. Especially, we show that crash risk as measured by quantile …

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

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

, I find that equity variance risk premiums (VRPs) — the difference between the risk-neutral and statistical expectations … provide a long-run risk model with stochastic volatility and complete markets, where the expected forex returns are a function …