Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly … underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations … that uncertainty about risk is highly relevant for stock prices …

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … option dealers charge a higher premium for single-name options with high uncertainty of volatility, because these stock …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the … economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty … aggregate output, I find a negative relationship between the level of uncertainty and asset valuations. This relationship shows …