We study whether climate policy uncertainty (CPU) is priced cross-sectionally in individual stocks and find a significant negative relation. On average, the risk-adjusted annual future returns of stocks with low exposure to CPU are 6.5%–7.7% greater than the returns of stocks with high...

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme abnormal stock returns whose absolute values exceed 10%. The...

Recent empirical finance literature reports a sizable equity premium on two types of days. The first is under Democratic administrations. The second is on scheduled macroeconomic news announcement days. The current study unifies the two strands of literature by documenting that statistically...