allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

According to no-arbitrage, risk-adjusted returns should be unpredictable. Using several prominent factor models and a … large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show …

monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …

explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate … realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I …

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk … distribution of the inflation Sharpe ratios to achieve economically reasonable estimates of the inflation risk premium and of the … real rates. We find that the inflation risk premium (i) is positive on average, (ii) rises when the unemployment rate …