This paper builds an empirical model to connect option-implied cumulants with expected risk premia through latent risk factors. Expected risk premia on individual stocks are estimated by applying a new partial least squares-based method on risk-neutral cumulants at different orders and various...

This paper estimates skewness risk premia on individual stocks using synthetic skew swaps and shows that there is a considerably large variation of monthly realized skewness risk premia across a representative set of portfolios which are sorted by skewness risk premium payoffs in the prior...

In this paper, we show that fear can propagate across international financial markets. Investors become more concerned about the local market tail risks when they see that the U.S. economy steps into contractions. Consistent with the rare disaster theory, risk-averse investors would require...

This paper investigates whether media climate change concern (MCCC) predicts stock market excess returns by using data for 44 markets. We show that the predictability of the MCCC index is a ubiquitous phenomenon in the international equity market - the higher MCCC index predicts lower market...

Asset growth factor (AG) – the return on a portfolio that is long in shares of low asset growth firms and short in shares of high asset growth firms - is an economy-wide pervasive risk factor in the widely used Fama and French (2015) five-factor model (FF5) and in the Hou, Xue, and Zhang...