This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

We introduce a novel indicator of eurozone exit risk based on American Depositary Receipts(ADRs). We exploit ADR … new devaluated currency, capitalcontrols or trading halts. We are the first to analyze the effects of eurozone exit risk … on banksand non-financial firms. European banks are negatively affected by exit risk of Greece, Irelandand Portugal …

novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit … risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the … real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted …

This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk … premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency … variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock variance risk …

We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and … risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption … stock and currency variance risk premiums …

dependent on macroeconomic risk factors and speculative positions. The latter are measured by the net open futures positions … recorded on the CME. While correlated with the standard carry-to-risk and forward discount proxies, net open positions have the …