's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock …We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …

translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation …

We show that microstructure biases in the estimation of expected option returns and risk premia are large, in some … individual stocks have negative expected returns. Third, the price of individual equity volatility risk is about 45% of the price …