This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate … well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive … emotions lead to a prediction of high return and low risk, while negative emotions lead to a prediction of low return and high …

Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly … underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations … that uncertainty about risk is highly relevant for stock prices …

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is …This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the … economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty …

Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to … Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the …

sensitivities to standard risk factors over the sample period from 2007 to 2014. By contrast, comparable bonds (same currency … denomination and credit rating category) issued by foreign entities did not offer significant risk-adjusted returns and exhibited … markedly different sensitivities to Swiss and global risk factors. However, the positive risk-adjusted returns on Swiss bonds …