In this paper, I examine how labor shortage affects hiring-return relationship. I construct firm-year level measure of … labor shortage using textual analysis of firms' SEC fillings. I show that the negative relationship between firm's hiring … likely to discuss labor shortage. Once they do, their current hiring and future investment rate drop, leverage and book to …

. The channel predicts that geographies with historically higher volatility will feature more wealth inequality than income …

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing … investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility … volatility risk have low expected returns. Both can be measured separately and are important economically, with a two …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …

is studied in details, which incorporates the fat tails into the volatility (aka the volatility of volatility). We show … underlying capital distribution is the fundamental driving force of the bull-bear market cycles and the market volatility in the …