This paper reexamines the relation between various downside risk measures and future equity returns in a global context … that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk … and the cross-section of equity returns, and in fact, this relation is mostly negative. Moreover, stock-specific risk …

-markets-generated EPU spillovers on country-level stock market idiosyncratic risk is noticeably larger compared to the effect of emerging … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …

world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …

find reliable evidence that green stocks earned higher returns than brown stocks around the world. This outperformance is …